arbitrage." The key difference between message data and widely-familiar limit order book data is that message data contain … limit order book data you cannot see the losers, so you cannot directly see the races. We find that latency-arbitrage races …), that latency arbitrage imposes a roughly 0.5 basis point tax on trading, that market designs that eliminate latency …

With the high-frequency data of firm quotes in the transaction platform of foreign exchanges, arbitrage profit … pairs--can be detected to emerge and disappear in the matter of seconds. The frequency and duration of such arbitrage … arbitrage opportunity and places orders for multiple transactions--two in negative spreads and three in triangular arbitrage …

for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign … pair and (b) triangular arbitrage relationship involving three currency pairs. The latter occur much more often than the … former. Such arbitrage opportunities tend to occur when the markets are active and volatile. Over the 12-year, tick …

-the-counter (OTC) markets during crises. Our theory emphasizes two key frictions in OTC markets: finding counterparties takes time, and …

. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on … anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity …