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Arbitrage in stationary markets

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  • Igor Evstigneev
  • Dhruv Kapoor

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.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Igor Evstigneev & Dhruv Kapoor, 2006. "Arbitrage in stationary markets," Economics Discussion Paper Series 0619, Economics, The University of Manchester.
    • Handle: RePEc:man:sespap:0619
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    References listed on IDEAS

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    1. Cantor, David G & Lippman, Steven A, 1995. "Optimal Investment Selection with a Multitude of Projects," Econometrica, Econometric Society, vol. 63(5), pages 1231-1240, September.
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    6. Ilan Adler & David Gale, 1997. "Arbitrage and Growth Rate for Riskless Investments in a Stationary Economy," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 73-81, January.
    7. Y.M. Kabanov & D.O. Kramkov, 1998. "Asymptotic arbitrage in large financial markets," Finance and Stochastics, Springer, vol. 2(2), pages 143-172.
    8. Michael A. H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-hoppe, 2007. "Volatility-induced financial growth," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 151-160.
    9. Igor V. Evstigneev & Michal A. H. Dempster & Klaus R. Schenk-Hoppé, 2003. "Exponential growth of fixed-mix strategies in stationary asset markets," Finance and Stochastics, Springer, vol. 7(2), pages 263-276.
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    Cited by:

    1. Michael A. H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-hoppe, 2007. "Volatility-induced financial growth," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 151-160.

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    More about this item

    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; Insider Trading

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