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- W3121749103 abstract "The possibility of statistical evaluation of the market completeness and incompleteness is investigated for continuous time diffusion 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: small deviations can convert an incomplete model into a complete one. More precisely, it is shown that, for any incomplete market from a wide class of models, there exists a complete market model with arbitrarily close paths of the stock prices and the market parameters. This leads to a counterintuitive conclusion that the incomplete markets are indistinguishable from the complete markets in the terms of the market statistics." @default.
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- W3121749103 date "2012-01-01" @default.
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- W3121749103 title "On Statistical Indistinguishability of the Complete and Incomplete Markets" @default.
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- W3121749103 doi "https://doi.org/10.2139/ssrn.2149951" @default.
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