capital constrained, noise trader influence is high, and arbitrage investors are more loss averse. We also predict that … arbitrage networks can lead to crowded trades, which can create systematic risk in extreme market circumstances. …

capital constrained, noise trader influence is high, and arbitrage investors are more loss averse. We also predict that … arbitrage networks can lead to crowded trades, which can create systematic risk in extreme market circumstances. …

We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic … framework of this model, we find conditions that are necessary and su¢ cient for the absence of arbitrage opportunities. We …

The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the … frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing …

spillover effect may start from the earlier time zone. Our findings partly support that investors can get arbitrage profit from …

role after the reform. We also find that all types of domestic investors engage in arbitrage around ex-dividend days prior …

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

This paper investigates the presence and characteristics of arbitrage opportunities in the foreign exchange market … round-trip and one-way arbitrage opportunities in real time. The analys is unveils the existence of numerous short …-lived arbitrage opportunities, whose size is economically significant across exchange rates and comparable across different maturities …