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I would say the financial- and the art market is very different, only the roots of the market / auctions is the same. As the art market is unique and very illiquid, alot of the strategies from the modern financial market simply does not apply. I have been building (and still maintains) a toolbox of models, which mostly try to find trends based on multiple ...


3

Art markets typically have huge transaction costs of the order of 10%, caused by buyers premium and auction fees. Therefore long holding periods are unavoidable, with long-term returns somewhere between those of bonds and equities. By its very nature, art is not easily replicated so arbitrage or derivatives are out. The rationality of agents (aka collectors) ...


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The original Vasicek paper is "An equilibrium model of the term structure". If you google for it, you'll find it and you can read in his own words his motivation for developing it. In particular, what now is called the Vasicek model basically comes from applying his results to an Ornstein-Uhlenbeck model for the spot process, which he claims was proposed by ...


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From my knowledge, Law of One Price is defined as: If two assets provide the same cashflows, they must have the same price. This is the justification to price options by a replicating portfolio. The model here seems to assume some European Claims 1-period model, which means $V_1$ represents a final payoff. At the (only) prior time $t=0$, the values of two ...


0

Qian's (2011) book says: The law of one price (LOP) states that portfolios with the same payoff must have the same price: $X' h = X' h \Rightarrow p' h = p' \tilde h$ where $p \in \mathbb{R}^J$ is the price vector.



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