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We extend the ‘No-dynamic-arbitrage and market impact’-framework of Gatheral [Quant. Finance, 2010, 10(7), 749–759] to the multi-dimensional case where trading in one asset has a cross-impact on the price of other assets. From the condition of absence of dynamical arbitrage we derive theoretical limits for the size and form of cross-impact that can be directly verified on data. For bounded decay kernels we find that cross-impact must be an odd and linear function of trading intensity and cross-impact from asset i to asset j must be equal to the one from j to i. To test these constraints we estimate cross-impact among sovereign bonds traded on the electronic platform MOT. While we find significant violations of the above symmetry condition of cross-impact, we show that these are not arbitrageable with simple strategies because of the presence of the bid-ask spread. 相似文献
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随着航空公司国际化的进一步发展,竞争将越来越激烈,而北欧航空、美西南航空这些先进航空公司的成功经验给我们中国民航的同行们提供了很多启示.本文通过借鉴成功经验,应用CVM方法对航空公司的目标客户价值进行管理,希望藉此促进中国的航空公司尽快向市场驱动型组织的转化. 相似文献
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