arbitrage capital employed. Due to the price impact, investors forwent 3.6\% annual return, 48\% higher Sharpe ratio, and …

arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such … ‘noise momentum' is an important determinant of the overall arbitrage process. We develop a state-dependent, two-period error …

due to their low transaction costs and high liquidity, taking market share from traditional investment vehicles such as … with the index. Arbitrage activity is a necessary component in minimizing the price discrepancy between ETFs and the … underlying securities. During turbulent market episodes, however, arbitrage is limited and ETF prices diverge from those of the …

changes carries important information about liquidity demand in the market. From this distribution of trader position …-changes, we construct a marketwide measure for intraday liquidity demand that does not necessarily depend on aggressive trading …. Using a rich regulatory dataset on S&P 500 E-mini futures and 10-year Treasury futures markets, we show that this liquidity …

. We exploit this quasi{ natural experiment to investigate the impact this change had on liquidity and trading behavior …