Arbitrage in Stationary Markets

12 Pages Posted: 9 Oct 2007

See all articles by Igor V. Evstigneev

Igor V. Evstigneev

University of Manchester - Economics, School of Social Sciences

Dhruv Kapoor

affiliation not provided to SSRN

Abstract

We analyse questions of arbitrage in fnancial 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 sufficient 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

JEL Classification: G10, G11, G14

Suggested Citation

Evstigneev, Igor V. and Kapoor, Dhruv, Arbitrage in Stationary Markets. Swiss Finance Institute Research Paper No. 07-32. Available at SSRN: https://ssrn.com/abstract=1020219 or http://dx.doi.org/10.2139/ssrn.1020219

Igor V. Evstigneev (Contact Author)

University of Manchester - Economics, School of Social Sciences ( email )

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HOME PAGE: http://www.evstigneev.net

Dhruv Kapoor

affiliation not provided to SSRN

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