2015/05/04 by Nikolai Dokuchaev, Dokuchaev, Nikolai
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1505.00638
openalex publication_date 2015/05/04 · openalex created_date 2023/05/13 · openalex updated_date 2026/07/28
We investigate the possibility of statistical evaluation of the market\ncompleteness for discrete time stock market models. It is known that the market\ncompleteness is not a robust property: small random deviations of the\ncoefficients convert a complete market model into a incomplete one. The paper\nshows that market incompleteness is also non-robust. We show that, for any\nincomplete market from a wide class of discrete time models, there exists a\ncomplete market model with arbitrarily close stock prices. This means that\nincomplete markets are indistinguishable from the complete markets in the terms\nof the market statistics.\n