On statistical indistinguishability of complete and incomplete discrete time market models
Mathematical Finance
2015-05-05 v1
Abstract
We investigate the possibility of statistical evaluation of the market completeness for discrete time stock market models. It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into a incomplete one. The paper shows that market incompleteness is also non-robust. We show that, for any incomplete market from a wide class of discrete time models, there exists a complete market model with arbitrarily close stock prices. This means that incomplete markets are indistinguishable from the complete markets in the terms of the market statistics.
Keywords
Cite
@article{arxiv.1505.00638,
title = {On statistical indistinguishability of complete and incomplete discrete time market models},
author = {Nikolai Dokuchaev},
journal= {arXiv preprint arXiv:1505.00638},
year = {2015}
}