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. …

take human reasoning into account. This approach has been the cornerstone of modern economic theory. We explain why this is … so, extolling the virtues of equilibrium theory; then we present a critique and describe why this approach is inherently …

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 costs of running such structure. Finally, an application to financial arbitrage processes is fully developed within a … transactional algebra, setting up arbitrage returns net of transaction costs, establishing boundary conditions for an arbitrage to … take place, and finally allowing for a definition of what should be meant by financial arbitrage within a transactional …

Although the standard trading arbitrage model provides with simple settings and adjustment mechanisms so as to take … profit whenever an arbitrage opportunity comes up, empirical evidence has been piling up showing that this point of view … standard financial arbitrage model from being functional to real markets environments. To overcome such drawbacks, this paper …

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 …

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