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李仲飞

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期刊论文

COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET

李仲飞XIAOTIE DENG* ZHONG-FEI LI SHOU-YANG WANG

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摘要/描述

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 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.

【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45分29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。

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