equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …

, and the transaction cost and market friction are considered in building the arbitrage-free spread interval. By comparing … Treasury futures. We find that there are many arbitrage opportunities among the three varieties, and the market is not fully … Treasury futures market will lead to higher market efficiency, shorter duration of arbitrage opportunities, and a faster return …

Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, whereas empirical applications of APT …

We show theoretically and empirically that no-arbitrage pricing magnifies the importance of noise when replication …

Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the … expected return and its covariance with the factors. The APT, however, does not preclude arbitrage over dynamic portfolios …

This paper studies the implications of arbitrage in a large asset market under conditions of (Knightian) uncertainty ….First, I adapt the notion of arbitrage to a market in which the assets' returns are affected by uncertainty across probability … sufficient conditions that let the approximation degenerates to the traditional Ross' arbitrage pricing theory are provided …

I generalize the textbook arbitrage-pricing framework to characterize how uninformative flows generate price impacts … derive this model, I generalize Ross arbitrage pricing theory to flows. I also obtain several useful theoretical results …

to be locally arbitrage free, however, it still permits some form of arbitrage. Finally, a subclass of arbitrage free … portfolio ; arbitrage amount …

arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure … from the underlying equity itself, or delta. The results question the efficacy of the common arbitrage strategy of only …

Slow-moving capital cannot fully explain the 2005 and 2008 arbitrage crashes in theconvertible bond market. Faced with …