Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/84290
Authors: 
Apreda, Rodolfo
Year of Publication: 
2004
Series/Report no.: 
Serie Documentos de Trabajo, Universidad del CEMA: Área: economía finanzas 256
Abstract: 
The purpose of this paper is to model differential rates over residual information sets, so as to shape transactional algebras into operational grounds. Firstly, simple differential rates over residual information sets are introduced by taking advantage of finite algebras of sets. Secondly, after contextual sets and the relevant algebra of information sets is suitably fashioned, generalized differential rates over residual information sets are expanded on, while a recursive algorithm is set forth to characterize such rates and sets. Thirdly, the notion of transactional algebra is presented and heed is given to the costs of running such structure. Finally, an application to financial arbitrage processes is fully developed within a transactional algebra, setting up arbitrage returns net of transaction costs, establishing boundary conditions for an arbitrage to take place, and finally allowing for a definition of what should be meant by financial arbitrage within a transactional algebra.
Subjects: 
differential rates
residual information sets
transactional algebras
arbitrage
JEL: 
G10
G12
G14
Document Type: 
Working Paper

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