您当前所在位置: 首页 > 学者

李仲飞

  • 16浏览

  • 0点赞

  • 0收藏

  • 0分享

  • 110下载

  • 0评论

  • 引用

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,():

URL:

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.

关键词:

【免责声明】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],版权归原创者所有。本文仅代表作者本人观点,与本网站无关。本网站对文中陈述、观点判断保持中立,不对所包含内容的准确性、可靠性或完整性提供任何明示或暗示的保证。请读者仅作参考,并请自行承担全部责任。

我要评论

全部评论 0

本学者其他成果

    同领域成果