Corpus ID: 158472055

Classifying Markets up to Isomorphism

  title={Classifying Markets up to Isomorphism},
  author={J. Armstrong},
  journal={arXiv: Mathematical Finance},
  • J. Armstrong
  • Published 2018
  • Economics
  • arXiv: Mathematical Finance
We define a notion of isomorphism for financial markets in both discrete and continuous time. We classify complete one-period markets. We define an invariant of continuous time complete markets which we call the absolute market price of risk. This invariant plays a role analogous to the curvature in Riemannian geometry. We classify markets when this invariant takes a simple form. We show that in general markets with non-trivial automorphism groups admit mutual fund theorems and prove a number… Expand
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