Abstract
We show that the equilibrium of the arbitraged economy is asymptotically Walrasian in the sense that it converges to the equilibrium of an appropriately defined competitive economy with no arbitrageurs. The equilibrium of this competitive economy, called Walrasian equilibrium with restricted consumption, is related to – though not identical to – the well-known Walrasian equilibrium with restricted participation. This characterization serves to clarify the role that arbitrageurs play in integrating markets.
Authors
Rohit Rahi, Jean-Pierre Zigrand
Year
2014
Journal
Mathematics and Financial Economics, (8)3, 249–264.
Keywords
Computational Finance and Financial markets