Derives a master formula for additive functional generation of trading strategies under nonlinear price impact, with formulas for relative wealth, positive price conditions, observed price dynamics, and applications to relative arbitrage plus historical backtests.
Relative arbitrage: Sharp time horizons and motion by curvature
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Stochastic portfolio theory with price impact
Derives a master formula for additive functional generation of trading strategies under nonlinear price impact, with formulas for relative wealth, positive price conditions, observed price dynamics, and applications to relative arbitrage plus historical backtests.