COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET

DOI10.1142/S0129054102001382zbMath1066.91560OpenAlexW2102693204WikidataQ114978637 ScholiaQ114978637MaRDI QIDQ3021979

Zhong-Fei Li, Shou-Yang Wang, Xiaotie Deng

Publication date: 22 June 2005

Published in: International Journal of Foundations of Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0129054102001382

zbMATH Keywords

computational complexityarbitrage

Mathematics Subject Classification ID

Related Items (4)

Computation of arbitrage in frictional bond markets ⋮ Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions ⋮ Dynamic trading under integer constraints ⋮ Condorcet winners for public goods

Cites Work

• A simple approach to arbitrage pricing theory
• Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs

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