Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … arbitrage and liquidity influence each other in the world’s largest platinum futures markets on exchanges in New York and Tokyo …

-term electricity futures using the gas to generate the electricity to fulfill the futures contracts. The arbitrage consists of buying …

We extend the Limits to Arbitrage literature by studying how physical constraints affect financial arbitrage in … violations of the no-arbitrage futures pricing conditions due to storage capacity constraints at the WTI futures delivery hub. We … arbitrage limits in pricing commodity futures. We also contribute to the Theory of Storage literature, which has largely ignored …

We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need … dynamics for credit market allowing for arbitrage possibilities. Moreover, arbitrage credit bubbles for both base credit assets … and credit derivatives are explicitly computed for the market dynamics minimizing the arbitrage …

Market frictions such as transactions costs, funding constraints and short selling constraints limit arbitrage, but …, we examine the effect of these frictions on arbitrage efficiency of the two markets. We find evidence of significant … cross-sectional variation in the size and asymmetricity of no-arbitrage bands. To the extent that market frictions affect …

arbitrage. Because of these limits, derivative securities can play primary roles in risk allocation and investors can demand …

contracts. We argue that this type of forward premium is not susceptible to arbitrage by speculators on the forward market …

stocks in the index basket, an arbitrageur can lock in the profit of a positive (negative) arbitrage basis in a stock index … futures by adopting a short (long) futures strategy. In addition, the arbitrageur may improve the arbitrage profit by adopting … position directly to the short position or vice versa. In this paper, we examine the optimal arbitrage strategies in stock …

^d-valued process. A strategy H is called extreme if it represents a maximal arbitrage opportunity. By this we mean that H generates at … zero. We characterize those subsets of F^e, on which no arbitrage opportunities exist. …