COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET-Reference-Cited by-同舟云学术

COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET

Published:2002-10 Issue:05 Volume:13 Page:681-684
ISSN:0129-0541
Container-title:International Journal of Foundations of Computer Science
language:en
Short-container-title:Int. J. Found. Comput. Sci.

Author:

DENG XIAOTIE¹,LI ZHONG-FEI²,WANG SHOU-YANG³

Affiliation:

1. Department of Computer Science, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, R.O.C.

2. Department of Finance, Lingnan (University) College, Sun Yat-Sen University, Guangzhou 510275, China

3. Institute of Systems Sciences, Chinese Academy of Sciences, Beijing 10008, China

Abstract

We are interested in computation of arbitrage condition in financial market with friction. We consider a deterministic model with a finite number of financial assets and a finite number of possible states of nature. The future return of each asset under each possible state of nature is given in the model. We derive a negative result on computational complexity of arbitrage in the case when assets are traded in integer numbers of shares and with a maximum amount of shares that can be bought for a fixed price.

Publisher

World Scientific Pub Co Pte Lt

Subject

Computer Science (miscellaneous)

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0129054102001382

Reference5 articles.

1. A simple approach to arbitrage pricing theory

2. Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs

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