movements in Bovespa, which would enable predicting stock prices in the Brazilian market, thus providing arbitrage opportunities … practice of arbitrage based on the lead-lag effects is not economically feasible due to transaction costs. …

[1975] and Radner [1979] equilibrium always existed in this model, as long as agents' anticipations precluded arbitrage. The … suggest it may be otherwise. We propose to show that agents, whose prior anticipation sets yield an arbitrage, may update … infer smaller arbitrage-free anticipation sets, which can not be narrowed down any further. Once these sets are attained …

's purpose is twofold. First, it defines no-arbitrage prices, which comprise all equilibrium prices, and displays their revealing …

's purpose is twofold. First, it defines no-arbitrage prices, which comprise all equilibrium prices, and displays their revealing …

[1975] and Radner [1979], equilibrium always existed in this model, as long as agents' anticipations precluded arbitrage …. Hereafter, we suggest it may be otherwise. We propose to show that agents, whose prior anticipation sets yield an arbitrage, may … eventually infer smaller arbitrage-free anticipation sets, which cannot be narrowed down any further. Once these sets are …

In [2], we had extended the classical concepts and arbitrage theory of symmetric information, to an asymmetric … enough information, in this model, to rule out arbitrage from markets. In [4], we extended to that model Cass' (1984 … generalized no-arbitrage condition introduced in [2], whether agents had symmetric or asymmetric information. We now display the …