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

Type:	Artigo Científico
Title:	Financial market structures revealed by pricing rules: Efficient complete markets are prevalent
Author:	Araujo, Aloisio Chateauneuf, Alain Faro, José Heleno
Publication Date:	2018
Abstract:	It 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.
Keywords (english terms):	Efficiency Pricing rules Risk-neutral probabilities Bid-ask spreads Complete markets Incompleteness
Language:	Inglês
CNPq Area:	Ciências Sociais Aplicadas
URI:	https://www.sciencedirect.com/science/article/pii/S0022053117301254?via%3Dihub
Copyright:	O 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 EDITOR
Appears in Collections:	Coleção de Artigos Científicos

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