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Arbitrage in Stationary Markets

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Author Info
Igor Evstigneev (University of Manchester)
Dhruv Kapoor (University of Manchester)
Abstract

We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that are necessary and su¢ cient for the absence of arbitrage opportunities. We discuss the relations between the results obtained and the phenomenon of "volatility-induced growth"in stationary markets.

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File URL: http://ssrn.com/abstract=1020219
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Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 07-32.

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Length: 12pages
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Handle: RePEc:chf:rpseri:rp0732

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Web page: http://www.SwissFinanceInstitute.ch
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Related research
Keywords: Stationary markets; Arbitrage; Volatility-induced growth.;

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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This page was last updated on 2009-11-30.

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