Larsson, Martin- Relative arbitrage_ Sharp time horizons and motion by curv ...

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Received: 30 March 2020   Accepted: 24 January 2021
DOI: 10.1111/mafi.12303

ORIGINAL ARTICLE


Relative arbitrage: Sharp time horizons and
motion by curvature
Martin Larsson1            Johannes Ruf2
1Department of Mathematical Sciences,
Carnegie Mellon University, Pittsburgh,        Abstract
Pennsylvania, USA                   We characterize the minimal time horizon over which
                            any equity market with  ≥ 2 stocks and sufficient
2Department of Mathematics, London
Sch ...

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关键词：Arbitrage Relative Horizons Horizon Motion