Abstract
We are interested in computation of arbitrage condition in financial market with friction. We consider a deterministic model with a finite number of financial assets and a finite number of possible states of nature. The future return of each asset under each possible state of nature is given in the model. We derive a negative result on computational complexity of arbitrage in the case when assets are traded in integer numbers of shares and with a maximum amount of shares that can be bought for a fixed price.
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