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- W4205374318 abstract "The objective is to develop a general stochastic approach to delays on financial markets. We suggest such a concept in the context of large Platonic markets, which allow infinitely many assets and incorporate a restricted information setting. The discussion is divided into information delays and order execution delays. The former enables modeling of markets, where the observed information is delayed, while the latter provides the opportunity to defer the indexed time of a received asset price. Both delays may be designed randomly and inhomogeneously over time. We show that delayed markets are equipped with a fundamental theorem of asset pricing and our main result is inheritance of the no asymptotic Lp-free lunch condition under both delay types. Eventually, we suggest an approach to verify absence of Lp-free lunch on markets with multiple brokers endowed with deviating trading speeds." @default.
- W4205374318 created "2022-01-25" @default.
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- W4205374318 date "2022-02-19" @default.
- W4205374318 modified "2023-09-23" @default.
- W4205374318 title "LARGE PLATONIC MARKETS WITH DELAYS" @default.
- W4205374318 doi "https://doi.org/10.1142/s0219024921500436" @default.
- W4205374318 hasPublicationYear "2022" @default.
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