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期刊论文

Computation of Arbitrage in a Financial Market with Various Types of Frictions

李仲飞Mao-cheng Cai Xiaotie Deng and Zhongfei Li*

AAIM 2005, LNCS 3521, pp. 270-280, 2005.,-0001,():

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摘要/描述

In this paper we study the computational problem of arbitrage in a frictional market with a finite number of bonds and finite and discrete times to maturity. Types of frictions under consideration include fixed and proportional transaction costs, bid-ask spreads, taxes, and upper bounds on the number of units for transaction. We obtain some negative result on computational diculty in general for arbitrage under those frictions: It is NP-complete to identify whether there exists a cash-and-carry arbitrage transaction and it is NP-hard to find an optimal cash-and-carry arbitrage transaction.

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版权说明:以下全部内容由李仲飞上传于   2005年07月07日 17时43分57秒,版权归本人所有。

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