Computation of arbitrage in frictional bond markets

doi:10.1016/j.tcs.2006.07.014

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	Computation of arbitrage in frictional bond markets
	Cai, Mao-cheng ; Deng, Xiaotie ; Li, Zhongfei
	2006-10-31
发表期刊	THEORETICAL COMPUTER SCIENCE
ISSN	0304-3975
卷号	363 期号:3 页码:248-256
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 develop a necessary and sufficient condition for the existence of arbitrage. In addition, 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. (C) 2006 Elsevier B.V. All rights reserved.
关键词	frictional market weak no-arbitrage computational complexity NP-hard
DOI	10.1016/j.tcs.2006.07.014
语种	英语
WOS研究方向	Computer Science
WOS类目	Computer Science, Theory & Methods
WOS记录号	WOS:000241641400002
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/3312
专题	中国科学院数学与系统科学研究院
通讯作者	Li, Zhongfei
作者单位	1.Sun Yat Sen Univ, Dept Finance, Lingnan Univ Coll, Guangzhou 510275, Peoples R China 2.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.City Univ Hong Kong, Dept Comp Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Cai, Mao-cheng,Deng, Xiaotie,Li, Zhongfei. Computation of arbitrage in frictional bond markets[J]. THEORETICAL COMPUTER SCIENCE,2006,363(3):248-256.
APA	Cai, Mao-cheng,Deng, Xiaotie,&Li, Zhongfei.(2006).Computation of arbitrage in frictional bond markets.THEORETICAL COMPUTER SCIENCE,363(3),248-256.
MLA	Cai, Mao-cheng,et al."Computation of arbitrage in frictional bond markets".THEORETICAL COMPUTER SCIENCE 363.3(2006):248-256.