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Article: Looking for arbitrage or term structures in frictional markets
Title | Looking for arbitrage or term structures in frictional markets |
---|---|
Authors | |
Issue Date | 2005 |
Publisher | Springer Verlag. The Journal's web site is located at http://springerlink.com/content/105633/ |
Citation | Lecture Notes In Computer Science (Including Subseries Lecture Notes In Artificial Intelligence And Lecture Notes In Bioinformatics), 2005, v. 3828 LNCS, p. 612-621 How to Cite? |
Abstract | In this paper we consider a frictional market with finitely many securities and finite and discrete future times. The frictions under consideration include fixed and proportional transaction costs, bid-ask spreads, and taxes. In such a market, we find that whether there exists an arbitrage opportunity does not dependent on the fixed transaction costs. Under a reasonable assumption, the no-arbitrage is equivalent to the condition that the optimal value of some linear programming problem is zero, and to the existence of a so-called consistent term structure. These results permit us to identify and to find arbitrage and consistent term structures in polynomial time. Two linear programming problems are proposed, each of which can identify and find the arbitrage opportunity or the consistent term structure if either exists. © Springer-Verlag Berlin Heidelberg 2005. |
Persistent Identifier | http://hdl.handle.net/10722/120722 |
ISSN | 2023 SCImago Journal Rankings: 0.606 |
References |
DC Field | Value | Language |
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dc.contributor.author | Li, Z | en_HK |
dc.contributor.author | Ng, KW | en_HK |
dc.date.accessioned | 2010-09-26T09:53:13Z | - |
dc.date.available | 2010-09-26T09:53:13Z | - |
dc.date.issued | 2005 | en_HK |
dc.identifier.citation | Lecture Notes In Computer Science (Including Subseries Lecture Notes In Artificial Intelligence And Lecture Notes In Bioinformatics), 2005, v. 3828 LNCS, p. 612-621 | en_HK |
dc.identifier.issn | 0302-9743 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/120722 | - |
dc.description.abstract | In this paper we consider a frictional market with finitely many securities and finite and discrete future times. The frictions under consideration include fixed and proportional transaction costs, bid-ask spreads, and taxes. In such a market, we find that whether there exists an arbitrage opportunity does not dependent on the fixed transaction costs. Under a reasonable assumption, the no-arbitrage is equivalent to the condition that the optimal value of some linear programming problem is zero, and to the existence of a so-called consistent term structure. These results permit us to identify and to find arbitrage and consistent term structures in polynomial time. Two linear programming problems are proposed, each of which can identify and find the arbitrage opportunity or the consistent term structure if either exists. © Springer-Verlag Berlin Heidelberg 2005. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Springer Verlag. The Journal's web site is located at http://springerlink.com/content/105633/ | en_HK |
dc.relation.ispartof | Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) | en_HK |
dc.title | Looking for arbitrage or term structures in frictional markets | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Ng, KW: kaing@hkucc.hku.hk | en_HK |
dc.identifier.authority | Ng, KW=rp00765 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.scopus | eid_2-s2.0-33744933940 | en_HK |
dc.identifier.hkuros | 149001 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-33744933940&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 3828 LNCS | en_HK |
dc.identifier.spage | 612 | en_HK |
dc.identifier.epage | 621 | en_HK |
dc.publisher.place | Germany | en_HK |
dc.identifier.scopusauthorid | Li, Z=17434361900 | en_HK |
dc.identifier.scopusauthorid | Ng, KW=7403178774 | en_HK |
dc.identifier.issnl | 0302-9743 | - |