most citedLarge Financial Markets and Asymptotic Arbitrage with Small Transaction Costs

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q-fin.PR2012★ 1 cited

Large Financial Markets and Asymptotic Arbitrage with Small Transaction Costs

Irene Klein, Emmanuel Lepinette, Lavinia Ostafe

We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for large financial markets with small proportional transaction co…