File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Looking for arbitrage or term structures in frictional markets

TitleLooking for arbitrage or term structures in frictional markets
Authors
Issue Date2005
PublisherSpringer 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?
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/120722
ISSN
2005 Impact Factor: 0.402
2015 SCImago Journal Rankings: 0.252
References

 

DC FieldValueLanguage
dc.contributor.authorLi, Zen_HK
dc.contributor.authorNg, KWen_HK
dc.date.accessioned2010-09-26T09:53:13Z-
dc.date.available2010-09-26T09:53:13Z-
dc.date.issued2005en_HK
dc.identifier.citationLecture Notes In Computer Science (Including Subseries Lecture Notes In Artificial Intelligence And Lecture Notes In Bioinformatics), 2005, v. 3828 LNCS, p. 612-621en_HK
dc.identifier.issn0302-9743en_HK
dc.identifier.urihttp://hdl.handle.net/10722/120722-
dc.description.abstractIn 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.languageengen_HK
dc.publisherSpringer Verlag. The Journal's web site is located at http://springerlink.com/content/105633/en_HK
dc.relation.ispartofLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)en_HK
dc.titleLooking for arbitrage or term structures in frictional marketsen_HK
dc.typeArticleen_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-33744933940en_HK
dc.identifier.hkuros149001en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33744933940&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume3828 LNCSen_HK
dc.identifier.spage612en_HK
dc.identifier.epage621en_HK
dc.publisher.placeGermanyen_HK
dc.identifier.scopusauthoridLi, Z=17434361900en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats