equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …

Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they … expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities … triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and …

arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …

Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the … properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of … (log base) significantly quantifies arbitrage in the US equity markets. The properties of the log-base arbitrage are …

cannot allow limited arbitrage. …

between left-hand side arbitrage opportunities and right-hand side liabilities. Consequently, arbitrageurs became unable to …

We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and … constraints facing intermediaries. The average pairwise correlation between the 29 arbitrage spreads that we study is 21%. These … segmentation drive arbitrage dynamics. First, funding is segmented--certain trades rely on specific funding sources, making their …