Price Manipulation and Quasi-Arbitrage
研究交易量影响价格且价格不确定时，准套利存在的条件，发现只有线性永久价格影响函数才能排除准套利，支持可行市场价格。
In an environment where trading volume affects security prices and where prices are uncertain when trades are submitted, quasi-arbitrage is the availability of a series of trades that generate infinite expected profits with an infinite Sharpe ratio. We show that when the price impact of trades is permanent and time-independent, only linear price-impact functions rule out quasi-arbitrage and thus support viable market prices. When trades have also a temporary price impact, only the permanent price impact must be linear while the temporary one can be of a more general form. We also extend the analysis to a time-dependent framework. Copyright The Econometric Society 2004.