A major question in the literature on the classical gold standard concerns the efficiency of international arbitrage … tests of various asset market criteria, including speculative efficiency and interest arbitrage. These studies have suffered …

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 …

A major question in the literature on the classical gold standard concerns the efficiency of international arbitrage … and interest arbitrage. These studies have suffered from many limitations, both methodological and empirical. We offer a … new methodology for measuring market integration, based on a theoretical model of arbitrage applicable to any type of …

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 …

that (1) strong arbitrage leads to an elastic Treasury market and a steeply downward-sloping term structure of market …

, even though it appears that the open-end form can be a serious impediment to arbitrage. I argue that the equilibrium degree …-suited to undertaking certain types of arbitrage trades. One implication of the analysis is that, even absent short …

In this paper, we investigate empirically the well-known put-call parity no-arbitrage relation in the presence of short …