-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 …

utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a …

between asset prices is very close to that predicted by the theory. Finally, as theory predicts, there is no contagion when …