Transaction costs: a new point of view

R. Baviera

Home/Archive/arXiv

arXiv · cond-mat/9907339

Transaction costs: a new point of view

R. Baviera

View original source ↗Read source document ↗Export metadata ↓

Abstract

We consider a new approach to portfolio selection in presence of transaction costs which allows to map the problem into one without costs. The proposed approach connects all the quantities of interest to exit times and probabilities to reach barriers. This leads to analytic results in the Wiener case and to directly measurable quantities on a historical dataset in real markets.

Explore related subjects

cond-mat.dis-nn q-fin.TR

Keep this discovery

Explore connections, maps & timelines

BibTeX RIS

R. Baviera. 1999-07-22. Transaction costs: a new point of view. https://arxiv.org/abs/cond-mat/9907339

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Irrationality Measure Controls Long-Wavelength Charge Fluctuations in Quasiperiodic Systems

Quasiperiodic order is characterized by irrational frequencies whose rational approximability known as irrationality measure defines distinct arithmetic classes. We establish that this arithmetic classification has direct physical consequences for long-wavelength charge fluctuations. In translation-covariant quasiperiodic systems, the infrared scaling of charge fluctuation is governed by the interplay between the irrationality exponent of irrational frequency and the large-harmonic decay of the hull charge profile: the latter determines the available charge weight, while the former controls how efficiently that weight is transferred to the infrared. Consequently, all algebraic irrational frequencies share the same arithmetic scaling, whereas exceptionally well-approximable transcendental frequencies can exhibit strongly enhanced infrared fluctuation scaling. We further prove that occupied states separated from the Fermi level by a gap stable throughout the hull contribute only an analytic infrared background, leaving the nontrivial scaling to near-Fermi states. Our results extend to general translation-covariant multi-frequency quasiperiodic systems.

cond-mat.dis-nn↗

arXiv2026

Curvature-Induced Geometric Universality in Non-Hermitian Anderson Transitions

In Euclidean space, universality classes of Anderson transitions are primarily determined by symmetry and spatial dimensionality. Here, we present evidence for a geometry-controlled universality class of non-Hermitian Anderson transitions on hyperbolic-like lattices. In this setting, critical behavior is influenced by the large-scale hyperbolic geometry, characterized by negative curvature, exponential volume growth, and a non-Euclidean notion of spatial scaling. Finite-size scaling of participation ratios across several distinct $ \{p,q\} $ tilings reveals one-parameter scaling collapses with a common critical exponent $ \nu\simeq1 $ within numerical accuracy. A complementary phenomenological coarse-grained Landau-Ginzburg analysis shows how exponential correlation-volume growth suppresses critical fluctuations, offering a rationale for the observed mean-field-like scaling. Our results suggest that spatial curvature can act as an additional organizing principle for Anderson-transition universality beyond the conventional dimensionality- and symmetry-based classification.

cond-mat.dis-nn↗

arXiv2026

Finite-rank multiplicative perturbations of rotationally invariant non-Hermitian random matrices

We study finite-rank multiplicative deformations of rotationally invariant non-Hermitian random matrices. More precisely, we consider models of the form $\mathbf{A}(\mathbf{I}+\mathbf{T})$, where $\mathbf{A}$ is a large rotationally invariant non-Hermitian random matrix, $\mathbf{T}$ is a finite-rank normal perturbation, and $\mathbf{I}$ denotes the identity matrix. We characterize the emergence of outlier eigenvalues, their fluctuations, and the associated eigenvector overlaps. Our results provide a multiplicative non-Hermitian counterpart to the classical Baik--Ben Arous--P\'ech\'e framework.

cond-mat.dis-nn↗