COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET

DOI10.1142/S0129054102001382MaRDI QIDQ3021979zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

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

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(8)

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