Limits to arbitrage when market participation is restricted

DOI10.1016/J.JMATECO.2006.04.001MaRDI QIDQ855320zbMATH OpenOpenAlexFDO

Authors Thorsten Hens, P. Jean-Jacques Herings, Arkadi Predtetchinski

Publication date 7 December 2006

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL http://www.econ.uzh.ch/static/wp_iew/iewwp176.pdf

zbMATH Keywords

bounded rationalityarbitrage

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Endogenous market integration, manipulation and limits to arbitrage
• Arbitrage for simple strategies
• Exploiting arbitrage requires short selling
• A general equilibrium analysis of strategic arbitrage
• Financial relationships and the limits to arbitrage

Cites work

• A derivative-coderivative inclusion in second-order nonsmooth analysis
• Generic existence of competitive equilibria with restricted participation
• On the allocation of effort
• Real-Time Decentralized Information Processing as a Model of Organizations with Boundedly Rational Agents
• The Decentralization of Information Processing in the Presence of Interactions

Cited in

(8)

• Price impact under heterogeneous beliefs and restricted participation
• Arbitrage and equilibrium with portfolio constraints
• Financial relationships and the limits to arbitrage
• Endogenous restricted participation in general financial equilibrium
• No free lunch for markets with multiple numéraires
• Endogenous market integration, manipulation and limits to arbitrage
• Collective dynamic risk measures
• Arbitrage with financial constraints and market power

This page was built for publication: Limits to arbitrage when market participation is restricted

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q855320)