We consider superhedging and no-arbitrage pricing in markets with a convex and cash-additive structure and derive an explicit functional form for the super-replication price. Using convex duality methods, we show that the superhedging price maximizes the difference between the expected payoff...

We argue that owing to traders' inability to fully express their preferences over the execution times of their orders, contemporary stock market designs are prone to latency arbitrage. In turn, we propose a new order type, which allows traders to specify the time at which their orders are...

The Flash Loan Arbitrage bot project entails creating a bot that can use flash loans to perform lucrative arbitrage trades across many decentralised exchanges. To ease arbitrage transactions, the project uses Solidity code to develop a smart contract that interacts with several ERC20 tokens and...

I explore the premise that the abundance of arbitrage capital varies over time and that future asset prices, proxied by a set of cross-sectional stock anomalies, depend on arbitrage capital availability. When arbitrage capital is abundant, investors are able to deploy capital flow successfully,...

Arbitrage trading strategies are a class of trading strategies that involve buying and selling financial instruments to take advantage of price discrepancies. The goal of arbitrage trading is to make a profit from the differences in prices between securities or markets, without taking on...

We propose a new approach to modeling informed order flows. Our approach generalizes arbitrage pricing to incorporate both information and demand effects, giving rise to a new quadratic factor model of price impacts. Our approach offers two fresh insights into the economics of informed trading....