Andersen, Torben; Todorov, Viktor; Zhou, Bo - In: Quantitative economics : QE ; journal of the … 16 (2025) 2, pp. 459-495
This paper focuses on the task of detecting local episodes involving violation of the standard Itô semimartingale assumption for financial asset prices in real time that might induce arbitrage opportunities. Our proposed detectors, defined as stopping rules, are applied sequentially to...