关于通过闪光策略确定利润的存在性
On the existence of sure profits via flash strategies
摘要：
我们介绍并研究了通过闪电策略确定利润的概念，该策略包括高频买入并持有交易策略。在一个完全一般的设置，不施加任何半鞅的限制，我们证明了，有没有通过闪光策略的肯定利润当且仅当资产价格不表现出可预测的跳跃。这一结果依赖于过程的一般理论，并提供了众所周知的事实，即在无仲裁的金融市场中，资产价格（包括股息）不应该在可预测的时间表现出可预测方向或幅度的跳跃。我们还证明了在没有确定利润的情况下，任何价格过程总是右连续的。我们的研究结果是稳健的小交易成本下，并意味着，在最低限度的假设下，发生在预定日期的价格变化应该只由于意外的信息发布。
英文摘要：
We introduce and study the notion of sure profit via flash strategy, consisting of a high-frequency limit of buy-and-hold trading strategies. In a fully general setting, without imposing any semimartingale restriction, we prove that there are no sure profits via flash strategies if and only if asset prices do not exhibit predictable jumps. This result relies on the general theory of processes and provides the most general formulation of the well-known fact that, in an arbitrage-free financial market, asset prices (including dividends) should not exhibit jumps of a predictable direction or magnitude at predictable times. We furthermore show that any price process is always right-continuous in the absence of sure profits. Our results are robust under small transaction costs and imply that, under minimal assumptions, price changes occurring at scheduled dates should only be due to unanticipated information releases.
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