-lived correlated assets we examine the impact of alternative types of arbitrage-seeking algorithms. These arbitrage robot traders vary … in their latency and whether they make or take market liquidity. All arbitrage robot traders we examine generate greater … conformity to the law-of-one-price across the twin markets. However, only the liquidity providing arbitrage robot trader moves …

arbitrage ex ante and reduce informational efficiency ex post. We focus on small arbitrageurs who target hard-to-short companies … implication, even extreme short-sale constraints need not constrain arbitrage, as is often assumed …

We investigate how security specific mispricing may persist under limits to arbitrage; specifically, when arbitragers …