This paper studies the social value of closing price differentials in financial markets. We show that arbitrage gaps … (price differentials between markets) exactly correspond to the marginal social value of executing an arbitrage trade. We … further show that arbitrage gaps and measures of price impact are sufficient to compute the total social value from closing an …

-financial-crisis regulatory environment. Global banks mainly use such funding to finance liquid, near risk-free arbitrage positions--in particular …, the interest on excess reserves arbitrage and the covered interest rate parity arbitrage. In this environment, we examine … global banks to the reform was a cutback in arbitrage positions that relied on unsecured funding, rather than a reduction in …

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 …

rates with the same maturity. Under standard assumptions this implies the existence of arbitrage opportunities. This paper … presents a model for pricing interest rate swaps where frictions for holding bonds limit arbitrage. I show analytically that …

The price-amenity arbitrage is a cornerstone of spatial economics, as the response of land and house prices to shifts … amenities. With informational, time, and cash constraints, households' ability to arbitrage across locations with different …

If experimental subjects arbitrage against market interest rates when making intertemporal allocations of cash, the … arbitrage directly by forcing all transactions with subjects to be instant electronic bank transfers, thus making arbitrage easy … and salient. We also employ four decision frames to test alternative hypotheses. Our evidence contradicts arbitrage …