Rough-path market models satisfying no-controlled-free-lunch reduce admissible drivers to Itô lifts of Brownian motion (up to time change) once signature-type strategies are allowed.
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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.
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Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
Rough-path market models satisfying no-controlled-free-lunch reduce admissible drivers to Itô lifts of Brownian motion (up to time change) once signature-type strategies are allowed.
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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.