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Dynamic arbitrage gaps for financial assets: in a nonlinear and chaotic price adjustment process

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  • Apreda, Rodolfo

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  • Apreda, Rodolfo, 1999. "Dynamic arbitrage gaps for financial assets: in a nonlinear and chaotic price adjustment process," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 441-457, November.
    • Handle: RePEc:eee:mulfin:v:9:y:1999:i:3-4:p:441-457
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    References listed on IDEAS

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    1. Garbade, Kenneth D & Silber, William L, 1979. "Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity Risk," Journal of Finance, American Finance Association, vol. 34(3), pages 577-593, June.
    2. Benston, George J & Smith, Clifford W, Jr, 1976. "A Transactions Cost Approach to the Theory of Financial Intermediation," Journal of Finance, American Finance Association, vol. 31(2), pages 215-231, May.
    3. Beja, Avraham & Goldman, M Barry, 1980. "On the Dynamic Behavior of Prices in Disequilibrium," Journal of Finance, American Finance Association, vol. 35(2), pages 235-248, May.
    4. Rodolfo Apreda, 1999. "Transactionally Efficient Markets, Dynamic Arbitrage and Microstructure," CEMA Working Papers: Serie Documentos de Trabajo. 151, Universidad del CEMA.
    5. Stahl, Dale II & Fisher, Franklin M., 1988. "On stability analysis with disequilibrium awareness," Journal of Economic Theory, Elsevier, vol. 46(2), pages 309-321, December.
    6. Barry Goldman, M. & Sosin, Howard B., 1979. "Information dissemination, market efficiency and the frequency of transactions," Journal of Financial Economics, Elsevier, vol. 7(1), pages 29-61, March.
    7. Caplin, Andrew & Leahy, John, 1996. "Trading Costs, Price, and Volume in Asset Markets," American Economic Review, American Economic Association, vol. 86(2), pages 192-196, May.
    8. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1995. "Investment analysis and price formation in securities markets," Journal of Financial Economics, Elsevier, vol. 38(3), pages 361-381, July.
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    Cited by:

    1. Rodolfo Apreda, 2003. "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo. 239, Universidad del CEMA.
    2. Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA.
    3. Rodolfo Apreda, 2000. "A transaction costs approach to financial assets rates of return," CEMA Working Papers: Serie Documentos de Trabajo. 161, Universidad del CEMA.
    4. Rodolfo Apreda, 2000. "Differential Rates and Transaction Costs. A toolkit for Practitioners, accountants and financial economists," CEMA Working Papers: Serie Documentos de Trabajo. 166, Universidad del CEMA.

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