EXPLOITING ARBITRAGE REQUIRES SHORT SELLING

Platen, E; Tappe, S

EXPLOITING ARBITRAGE REQUIRES SHORT SELLING

Platen, E Tappe, S

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Publisher:: American Institute of Mathematical Sciences (AIMS)
Publication Type:: Journal Article
Citation:: Frontiers of Mathematical Finance, 2023, 2, (3), pp. 265-282
Issue Date:: 2023-09-01

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Field	Value	Language
dc.contributor.author	Platen, E
dc.contributor.author	Tappe, S
dc.date.accessioned	2024-07-08T00:21:15Z
dc.date.available	2024-07-08T00:21:15Z
dc.date.issued	2023-09-01
dc.identifier.citation	Frontiers of Mathematical Finance, 2023, 2, (3), pp. 265-282
dc.identifier.issn	2769-6715
dc.identifier.issn	2769-6715
dc.identifier.uri	http://hdl.handle.net/10453/179738
dc.description.abstract	We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling. This finding provides a theoretical basis for differences in regulation for financial services providers that are allowed to go short and those without short sales. The privilege to be allowed to short sell gives access to potential arbitrage opportunities, which creates by design a bankruptcy risk.
dc.language	en
dc.publisher	American Institute of Mathematical Sciences (AIMS)
dc.relation.ispartof	Frontiers of Mathematical Finance
dc.relation.isbasedon	10.3934/fmf.2023008
dc.rights	info:eu-repo/semantics/closedAccess
dc.title	EXPLOITING ARBITRAGE REQUIRES SHORT SELLING
dc.type	Journal Article
utslib.citation.volume	2
utslib.copyright.status	closed_access	*
dc.date.updated	2024-07-08T00:21:10Z
pubs.issue	3
pubs.publication-status	Published
pubs.volume	2
utslib.citation.issue	3

Abstract:

We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling. This finding provides a theoretical basis for differences in regulation for financial services providers that are allowed to go short and those without short sales. The privilege to be allowed to short sell gives access to potential arbitrage opportunities, which creates by design a bankruptcy risk.

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http://hdl.handle.net/10453/179738