On statistical indistinguishability of complete and incomplete discrete time market models
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Publication:6089405
DOI10.1007/S10203-023-00397-YarXiv1505.00638OpenAlexW3123989587MaRDI QIDQ6089405FDOQ6089405
Authors: Nikolai Dokuchaev 
Publication date: 17 November 2023
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Abstract: We investigate the possibility of statistical evaluation of the market completeness for discrete time stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into a incomplete one. The paper shows that market incompleteness is also non-robust. We show that, for any incomplete market from a wide class of discrete time models, there exists a complete market model with arbitrarily close stock prices. This means that incomplete markets are indistinguishable from the complete markets in the terms of the market statistics.
Full work available at URL: https://arxiv.org/abs/1505.00638
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