On general financial markets with concave transactions costs

2024/09/30 by Agnieszka Magdalena Rygiel, Rygiel, A., Łukasz Stettner +1
Economics, Econometrics and Finance · #91G10 #93E20 #Economic theories and models #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2409.20193

openalex publication_date 2024/09/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In the paper we study markets with concave transaction costs which depend in a concave way on the volume of transaction. This is typical situation in the case of small investors, which commonly appears in currency and real estate markets. Sufficient conditions for absence of arbitrage are formulated. New notion of asymptotic arbitrage is introduced and used to study the above mentioned markets.

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