Evaluation of Arbitrage Opportunity in Per-duration Stock Market

XIAO Xiang; XU Bo-sheng; LI Lu

doi:10.3969/j.issn.1009-444X.2009.02.018

Volume 23 Issue 2

Jun. 2009

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Article Navigation > Journal of Shanghai University of Engineering Science > 2009 > 23(2): 177-180

XIAO Xiang, XU Bo-sheng, LI Lu. Evaluation of Arbitrage Opportunity in Per-duration Stock Market[J]. Journal of Shanghai University of Engineering Science, 2009, 23(2): 177-180. doi: 10.3969/j.issn.1009-444X.2009.02.018

Citation:

XIAO Xiang, XU Bo-sheng, LI Lu. Evaluation of Arbitrage Opportunity in Per-duration Stock Market[J]. Journal of Shanghai University of Engineering Science, 2009, 23(2): 177-180. doi: 10.3969/j.issn.1009-444X.2009.02.018

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Evaluation of Arbitrage Opportunity in Per-duration Stock Market

doi: 10.3969/j.issn.1009-444X.2009.02.018

Publish Date: 2009-06-30

Abstract

Abstract

With the study on the per-duration stock market, the linear equation system was introduced so as to evaluate whether there exists the arbitrage opportunity. Besides,dealing with the solution of such system the trading strategies of the arbitrage were presented. Finally, based on the Farkas' theory, a sufficient condition concerning the relationship between the arbitrage opportunity and risk neutral probability was offered.
- trading strategy,
- arbitrage opportunity,
- risk neutral probability