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 … three European exchanges in 2013: Xetra, Chi-X, and BATS. We show that a high-frequency trader can profit from lead …

literature attributes to mispricing of Treasury Inflation-Protected Securities (TIPS). In theory, factors driving TIPS mispricing …

I argue that arbitrage mistranslates factor information from ETFs to constituent securities and distorts comovement … but by their portfolio weights, causing securities to comove with the ETF based on a measure I call arbitrage sensitivity … – a combination of portfolio weight and price impact sensitivity – rather than fundamental exposures. Arbitrage …

Estimates of mispricing, such as deviations from no-arbitrage relations, strongly comove across five financial markets …. One common component---the arbitrage gap---explains the majority of variability in mispricing estimates for futures …, Treasury securities, foreign exchange, and options. Prominent equity anomalies also comove significantly with the arbitrage gap …