Arbitrage in Stationary Markets

Igor Evstigneev and Dhruv Kapoor
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Dhruv Kapoor: University of Manchester

No 07-32, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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.

Keywords: Stationary markets; Arbitrage; Volatility-induced growth. (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Pages: 12pages
Date: 2007-10
New Economics Papers: this item is included in nep-fmk
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Related works:
Journal Article: Arbitrage in stationary markets (2009)
Working Paper: Arbitrage in stationary markets (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0732

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