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Complete and competitive financial markets in a complex world

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  • Gianluca Cassese

    (Università Milano-Bicocca)

Abstract

We investigate the possibility of completing financial markets in a model with no exogenous probability measure, with market imperfections and with an arbitrary sample space. We also consider whether such an extension may be possible in a competitive environment. Our conclusions highlight the economic role of complexity.

Suggested Citation

  • Gianluca Cassese, 2021. "Complete and competitive financial markets in a complex world," Finance and Stochastics, Springer, vol. 25(4), pages 659-688, October.
    • Handle: RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00463-6
    DOI: 10.1007/s00780-021-00463-6
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    More about this item

    Keywords

    Competitive completion; Market completeness; Market power; No arbitrage; Sublinear pricing;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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