Computation of arbitrage in a financial market with various types of frictions

CSpace

	Computation of arbitrage in a financial market with various types of frictions
	Cai, MC ; Deng, XT ; Li, ZF
	2005
发表期刊	ALGORITHMIC APPLICATIONS IN MANAGEMENT, PROCEEDINGS
ISSN	0302-9743
卷号	3521 页码:270-280
摘要	In this paper we study the computational problem of arbitrage in a frictional market with a finite number of bonds and finite and discrete times to maturity. Types of frictions under consideration include fixed and proportional transaction costs, bid-ask spreads, taxes, and upper bounds on the number of units for transaction. We obtain some negative result on computational difficulty in general for arbitrage under those frictions: It is NP-complete to identify whether there exists a cash-and-carry arbitrage transaction and it is NP-hard to find an optimal cash-and-carry arbitrage transaction.
语种	英语
WOS研究方向	Computer Science
WOS类目	Computer Science, Information Systems ; Computer Science, Interdisciplinary Applications ; Computer Science, Theory & Methods
WOS记录号	WOS:000230475100030
出版者	SPRINGER-VERLAG BERLIN
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1018
专题	中国科学院数学与系统科学研究院
作者单位	1.Sun Yat Sen Univ, Lingnam Univ Coll, Guangzhou 510275, Peoples R China 2.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China 3.City Univ Hong Kong, Dept Comp Sci, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Cai, MC,Deng, XT,Li, ZF. Computation of arbitrage in a financial market with various types of frictions[J]. ALGORITHMIC APPLICATIONS IN MANAGEMENT, PROCEEDINGS,2005,3521:270-280.
APA	Cai, MC,Deng, XT,&Li, ZF.(2005).Computation of arbitrage in a financial market with various types of frictions.ALGORITHMIC APPLICATIONS IN MANAGEMENT, PROCEEDINGS,3521,270-280.
MLA	Cai, MC,et al."Computation of arbitrage in a financial market with various types of frictions".ALGORITHMIC APPLICATIONS IN MANAGEMENT, PROCEEDINGS 3521(2005):270-280.