We measure the incidence of latency arbitrage for cross-listed stocks around the time of an exogenous shock that made … markets. We document a sharp decline in the incidence of cross-market arbitrage opportunities across the Nordic markets for … cross-listed stocks from 2009 to 2010 and later. Over the five year sample period 77% of the observed cross-market arbitrage …

from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead … arbitrage opportunities. The framework is then evaluated on six months of DAX 30 cross-listed stocks’ LOB data obtained from …

We investigate the relationship between latency arbitrage and trading via frequent batch auctions (FBA). We show that … increases in single and cross-market latency arbitrage opportunities (LAOs) are linked to an economically meaningful increase in …

This article analyses the arbitrage opportunities on the ODAX options market in an intra-daily framework. Tests are …

pairs. To the contrary, algorithmic traders contribute to the creation of arbitrage opportunities as a byproduct of … barriers to the creation of arbitrage opportunities, which explains the reduced occurrence of arbitrage opportunities …

During times of market stress, arbitrage capital cannot be timely deployed, and assets trade away from fundamentals …