COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET

DOI10.1142/S0129054102001382zbMATH Open1066.91560OpenAlexW2102693204WikidataQ114978637 ScholiaQ114978637MaRDI QIDQ3021979FDOQ3021979

Authors: Xiaotie Deng, Zhongfei Li, Shouyang Wang 

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

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zbMATH Keywords

computational complexityarbitrage

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

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

Cited In (8)

• Dynamic trading under integer constraints
• A short note on super-hedging an arbitrary number of European options with integer-valued strategies
• Computation of arbitrage in frictional bond markets
• Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
• Algorithmic Applications in Management
• Condorcet winners for public goods
• Approximation and computation of arbitrage in frictional foreign exchange market (extended abstract)
• Title not available (Why is that?)

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