论文标题
相对套利：锐利的时间范围和曲率运动
Relative Arbitrage: Sharp Time Horizons and Motion by Curvature
论文作者
论文摘要
我们表征了最小的时间范围，任何股票市场的股票市场与$ d \ geq 2 $股票和足够的固有波动性相对于市场投资组合的相对套利。如果$ d \ in \ {2,3 \} $，则可以明确计算最小的时间范围，如果$ d = 2 $和$ \ sqrt {3}/（2π）$如果$ d = 3 $，则其值为零。如果$ d \ geq 4 $，则可以通过$ \ mathbb r^d $在$ \ mathbb r^d $中的几何流量的到达时间函数来表征，我们称为最小曲率流。
We characterize the minimal time horizon over which any equity market with $d \geq 2$ stocks and sufficient intrinsic volatility admits relative arbitrage with respect to the market portfolio. If $d \in \{2,3\}$, the minimal time horizon can be computed explicitly, its value being zero if $d=2$ and $\sqrt{3}/(2π)$ if $d=3$. If $d \geq 4$, the minimal time horizon can be characterized via the arrival time function of a geometric flow of the unit simplex in $\mathbb R^d$ that we call the minimum curvature flow.
