This paper derives arbitrage trading strategies taking into account the fact that the actions of arbitrageurs impact … prices. This avoids the difficulty of having to rely on exogenous position limits to prevent infinite arbitrage profits. When … spite of arbitrage. Financial constraints are also responsible for periods of excessively volatile prices and for the time …

High frequency arbitrage opportunities sometimes arise when the price of one asset follows, with a lag, changes in the … suppliers to the risk of being picked off by arbitrageurs. Hence, more frequent toxic arbitrage opportunities and a faster … triangular arbitrage opportunities in the FX market. In our sample, a 1% increase in the likelihood that a toxic arbitrage …

markets. Arbitrage opportunities between redundant risky assets arise endogenously in an economy populated by rational …, heterogeneous investors facing restrictions on leverage and short sales. An arbitrageur, indulging in costless, riskless arbitrage … arbitrageur lacks market power, they always take on the largest arbitrage position possible. When the arbitrageur behaves …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …