英文标题：
《On statistical indistinguishability of complete and incomplete discrete
time market models》
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作者：
Nikolai Dokuchaev
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最新提交年份：
2015
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英文摘要：
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.
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中文摘要：
我们研究了对离散时间股票市场模型的市场完整性进行统计评估的可能性。众所周知，市场完备性不是一个稳健的性质：系数的小随机偏差将完整的市场模型转换为不完整的市场模型。本文证明了市场不完全性也是非稳健的。我们证明，对于一类广泛的离散时间模型中的任何不完全市场，都存在一个股价任意接近的完全市场模型。这意味着，就市场统计而言，不完全市场与完全市场是无法区分的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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