英文标题：
《Implicit transaction costs and the fundamental theorems of asset pricing》
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作者：
Erindi Allaj
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最新提交年份：
2016
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英文摘要：
  This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded volume. The investors in the market always buy at the ask and sell at the bid price. Implicit transaction costs are composed of two terms, one is able to capture the bid-ask spread, and the second the price impact. Moreover, a new definition of a self-financing portfolio is obtained. The self-financing condition suggests that continuous trading is possible, but is restricted to predictable trading strategies having c\\\'adl\\\'ag (right-continuous with left limits) and c\\\'agl\\\'ad (left-continuous with right limits) paths of bounded quadratic variation and of finitely many jumps. That is, c\\\'adl\\\'ag and c\\\'agl\\\'ad predictable trading strategies of infinite variation, with finitely many jumps and of finite quadratic variation are allowed in our setting. Restricting ourselves to c\\\'agl\\\'ad predictable trading strategies, we show that the existence of an equivalent probability measure is equivalent to the absence of arbitrage opportunities, so that the first fundamental theorem of asset pricing (FFTAP) holds. It is also shown that the use of continuous and bounded variation trading strategies can improve the efficiency of hedging in a market with implicit transaction costs. To better understand how to apply the theory proposed we provide an example of an implicit transaction cost economy that is linear and non-linear in the order size.
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中文摘要：
本文研究了具有隐性交易成本的金融市场中的套利定价理论。我们扩展了现有的理论，以包括更现实的可能性，即投资者交易的价格取决于交易量。市场上的投资者总是按买入价买入，按买入价卖出。隐性交易成本由两个方面组成，一个是能够捕捉买卖价差，另一个是价格影响。此外，还得到了自筹资金投资组合的一个新定义。自筹资金条件表明，连续交易是可能的，但仅限于可预测的交易策略，即cāadlāag（右连续左极限）和cāaglāad（左连续右极限）路径具有有界二次变化和有限多跳。也就是说，在我们的环境中，允许使用无限变化、有限多跳和有限二次变化的可预测交易策略。我们将自己局限于可预测的交易策略，证明了等价概率测度的存在等同于没有套利机会，因此资产定价第一基本定理（FFTAP）成立。研究还表明，在具有隐性交易成本的市场中，使用连续和有界变化的交易策略可以提高套期保值的效率。为了更好地理解如何应用所提出的理论，我们提供了一个隐含交易成本经济的例子，它在订单规模上是线性和非线性的。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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