{"id":"W2233748268","doi":"10.1111/1467-9965.00006","title":"Dynamic Arbitrage‐Free Asset Pricing with Proportional Transaction Costs","year":2002,"lang":"en","type":"article","venue":"Mathematical Finance","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":2,"is_retracted":false,"has_abstract":true,"ca_institutions":"Western University","funders":"","keywords":"Arbitrage; Arbitrage pricing theory; Risk arbitrage; Fixed income arbitrage; Fundamental theorem of asset pricing; Index arbitrage; Investment theory; Variable pricing; Transaction cost; Rational pricing; Asset (computer security); Economics; Capital asset pricing model; Financial economics; Microeconomics; Business; Computer science","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002333114,0.000996275,0.001124257,0.0007476111,0.0005382375,0.002729972,0.001866457,0.001468139,0.003259278],"category_scores_gemma":[0.0106602,0.0005820148,0.0009994541,0.0008510898,0.002278613,0.007827594,0.001728254,0.002373765,0.0003180547],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001397858,"about_ca_system_score_gemma":0.0008222061,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0008093127,"about_ca_topic_score_gemma":0.000418362,"domain_scores_codex":[0.9979374,0.0007466158,0.0000968711,0.0003196208,0.000630815,0.0002686061],"domain_scores_gemma":[0.9960211,0.002276374,0.0006051104,0.0004724448,0.0003559025,0.0002692338],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00003475247,0.00003654574,0.0003147949,0.00003508404,0.00003410182,0.0001975576,0.00004937758,0.08612546,0.001103883,0.9054567,0.0003709911,0.006240686],"study_design_scores_gemma":[0.00002966106,0.00004313581,0.0003105598,0.000007837581,0.00001733781,0.0001181073,0.00001547958,0.5907269,0.0005108666,0.4071569,0.001042104,0.000021117],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1221601,0.001275764,0.8590857,0.0009197663,0.0001453833,0.00005315632,0.00006753066,0.00008185608,0.01621084],"genre_scores_gemma":[0.9741509,0.0006006432,0.01759947,0.00009326143,0.0001314428,0.00006294138,0.00005412325,0.000026897,0.007280246],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.003259278,"threshold_uncertainty_score":0.01233888,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01912071364424954,"score_gpt":0.2096946968892305,"score_spread":0.1905739832449809,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}