Financial market structures revealed by pricing rules: Efficient complete markets are prevalent

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dc.contributor.authorAraujo, Aloisio
dc.contributor.authorChateauneuf, Alain
dc.contributor.authorJOSÉ HELENO FARO
dc.coverage.cidadeNão informadopt_BR
dc.coverage.paisNão Informadopt_BR
dc.creatorAraujo, Aloisio
dc.creatorChateauneuf, Alain
dc.date.accessioned2022-08-16T23:48:32Z
dc.date.available2022-08-16T23:48:32Z
dc.date.issued2018
dc.description.otherIt is well known that when an arbitrage-free financial market is incomplete or has tradable financial assets with frictions there must be multiple risk-neutral probability measures. The main motivation for the present study is to elucidate what type of market structure usually emerges from pricing rules. First, we obtain that finitely generated pricing rules, characterized by polytopes of probabilities, capture the class of all finite arbitrage-free financial markets that are potentially incomplete or subject to frictions affecting tradable assets. Next, we provide a novel characterization of efficient securities and introduce related notions of market completeness that underlies pricing rules. Our main result shows that the class of efficient complete markets with bid-ask spreads is the prevalent case revealed by finitely generated pricing rules.pt_BR
dc.format.extentp. 257-288pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttps://doi.org/10.1016/j.jet.2017.11.002pt_BR
dc.identifier.issn220531pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4019
dc.identifier.volume173pt_BR
dc.language.isoInglêspt_BR
dc.publisherElsevierpt_BR
dc.relation.isboundProdução vinculada ao Núcleo de Ciências de Dados e Decisão
dc.relation.ispartofJournal of Economic Theorypt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsEfficiencypt_BR
dc.subject.keywordsPricing rulespt_BR
dc.subject.keywordsRisk-neutral probabilitiespt_BR
dc.subject.keywordsBid-ask spreadspt_BR
dc.subject.keywordsComplete marketspt_BR
dc.subject.keywordsIncompletenesspt_BR
dc.titleFinancial market structures revealed by pricing rules: Efficient complete markets are prevalentpt_BR
dc.typejournal article
dspace.entity.typePublication
local.identifier.sourceUrihttps://www.sciencedirect.com/science/article/pii/S0022053117301254?via%3Dihub
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication6f68f2a4-9e10-4c94-a5e8-62ba771c81d7
relation.isAuthorOfPublication.latestForDiscovery6f68f2a4-9e10-4c94-a5e8-62ba771c81d7

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