英文标题：
《No arbitrage and lead-lag relationships》
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作者：
Takaki Hayashi, Yuta Koike
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最新提交年份：
2017
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英文摘要：
The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial econometrics. Recently some continuous-time models have been proposed to take account of the lead-lag relationship. Such a model does not follow a semimartingale as long as the lead-lag relationship is present, so it admits an arbitrage without market frictions. In this paper we show that they are free of arbitrage if we take account of market frictions such as the presence of minimal waiting time on subsequent transactions or transaction costs.
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中文摘要：
在金融计量经济学中，一对资产的回报之间存在时滞相互关系，这被称为超前-滞后关系，这是一个众所周知的程式化事实。最近有人提出了一些连续时间模型来考虑超前-滞后关系。只要存在超前-滞后关系，这种模型就不遵循半鞅，因此它允许无市场摩擦的套利。在本文中，我们证明，如果我们考虑到市场摩擦，如后续交易的最小等待时间或交易成本，它们是没有套利的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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