other considerations. The analysis suggests three important conclusions. First, profitable arbitrage opportunities do … of profitable arbitrage opportunities appear to be a positive function of the length of maturity. We propose an …

chosen by a social planner, it is chosen to maximize arbitrage profits and depends therefore realistically upon …

making investments today and waiting for arbitrage opportunities in future is the combination of occasional fire sales and … fire sales in other types that are fundamentally unrelated, provided arbitrage activity in these investments is sourced …

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 …

This paper provides real-time evidence on the frequency, size, duration and economic significance of arbitrage …

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 …