A one period model is pretty artificial, but you've got to start somewhere. It assumes there are two fixed times where at the first time you put on some trades and at the second time you unwind them.

At the first time, t0, the buyer makes transactions (t0, aj, ij; -aj X(0; aj, ij, i'j), i'j) and liquidates at the second time, t1, (t1; -aj, ij, aj X(1; -aj, ij, i'j), ij). But this does not work.

Last edited Jul 14, 2011 at 1:34 AM by keithalewis, version 3


No comments yet.