1,843 research outputs found
Market free lunch and large financial markets
The main result of the paper is a version of the fundamental theorem of asset
pricing (FTAP) for large financial markets based on an asymptotic concept of no
market free lunch for monotone concave preferences. The proof uses methods from
the theory of Orlicz spaces. Moreover, various notions of no asymptotic
arbitrage are characterized in terms of no asymptotic market free lunch; the
difference lies in the set of utilities. In particular, it is shown directly
that no asymptotic market free lunch with respect to monotone concave utilities
is equivalent to no asymptotic free lunch. In principle, the paper can be seen
as the large financial market analogue of [Math. Finance 14 (2004) 351--357]
and [Math. Finance 16 (2006) 583--588].Comment: Published at http://dx.doi.org/10.1214/105051606000000484 in the
Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute
of Mathematical Statistics (http://www.imstat.org
A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
We present a version of the fundamental theorem of asset pricing (FTAP) for
continuous time large financial markets with two filtrations in an
-setting for . This extends the results of Yuri
Kabanov and Christophe Stricker \cite{KS:06} to continuous time and to a large
financial market setting, however, still preserving the simplicity of the
discrete time setting. On the other hand it generalizes Stricker's
-version of FTAP \cite{S:90} towards a setting with two filtrations. We do
neither assume that price processes are semi-martigales, (and it does not
follow due to trading with respect to the \emph{smaller} filtration) nor that
price processes have any path properties, neither any other particular property
of the two filtrations in question, nor admissibility of portfolio wealth
processes, but we rather go for a completely general (and realistic) result,
where trading strategies are just predictable with respect to a smaller
filtration than the one generated by the price processes. Applications range
from modeling trading with delayed information, trading on different time
grids, dealing with inaccurate price information, and randomization approaches
to uncertainty
Asymptotic proportion of arbitrage points in fractional binary markets
A fractional binary market is an approximating sequence of binary models for
the fractional Black-Scholes model, which Sottinen constructed by giving an
analogue of the Donsker's theorem. In a binary market the arbitrage condition
can be expressed as a condition on the nodes of a binary tree. We call
"arbitrage points" the points in the binary tree which verify such an arbitrage
condition and "arbitrage paths" the paths in the binary tree which cross at
least one arbitrage point. Using this terminology, a binary market admits
arbitrage if and only if there is at least one arbitrage point in the binary
tree or equivalently if there is at least one arbitrage path. Following the
lines of Sottinen, who showed that the arbitrage persists in the fractional
binary market, we further prove that starting from any point in the tree, we
can reach an arbitrage point. This implies that, in the limit, there is an
infinite number of arbitrage points. Next, we provide an in-depth analysis of
the asymptotic proportion of arbitrage points at asymptotic levels and of
arbitrage paths in the fractional binary market. All these results are obtained
by studying a rescaled disturbed random walk. We moreover show that, when
is close to , with probability a path in the binary tree crosses an
infinite number of arbitrage points. In particular, for such , the
asymptotic proportion of arbitrage paths is equal to
More bits - more bucks? Measuring the impact of broadband internet on firm performance
The paper provides empirical evidence for the causal impact of broadband Internet on the economic performance of German firms. Performance is measured in terms of labour productivity and realised process and product innovations. The analysis refers to the early phase of DSL expansion in Germany from 2001 to 2003, when roughly 60 percent of the German firms already used broadband Internet. Identification relies on instrumental variable estimation taking advantage of information on the availability of DSL broadband at the postal code level. The results show that broadband Internet has no impact on firms' labour productivity whereas it exhibits a positive and significant impact on their innovation activity. --labour productivity,innovation,broadband Internet
More bits more bucks? : Measuring the impact of broadband internet on firm performance
The paper provides empirical evidence for the causal impact of broadband Internet on the economic performance of German firms. Performance is measured in terms of labour productivity and realised process and product innovations. The analysis refers to the early phase of DSL expansion in Germany from 2001 to 2003, when roughly 60 percent of the German firms already used broadband Internet. Identification relies on instrumental variable estimation taking advantage of information on the availability of DSL broadband at the postal code level. The results show that broadband Internet has no impact on firms' labour productivity whereas it exhibits a positive and significant impact on their innovation activity
La teorÃa en la práctica de la escritura de ficción
El objetivo del trabajo es estudiar la incidencia de la teorÃa -el análisis literario propuesto por la narratologÃa (Gerard Genette 1962,1966,1969,1972)- en un taller de escritura, reflexionar sobre los alcances y las limitaciones de un enfoque descriptivo de los hechos literarios en la práctica de la escritura de ficción como también sobre la necesidad de abordarlos desde un enfoque pluridisciplinario. Para ello se analizará la experiencia didáctica que se realiza en la materia Taller de Expresión I (Ciencias de la Comunicación), que fuera diseñada por Gloria Pampillo y Maite Alvarado con el propósito de promover las potencialidades cognitivas de la escritura
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