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Platforms as arbitrageurs and facilitators of arbitrage : a simple analysis

Waterson, Michael - 2023

Persistent link: https://www.econbiz.de/10014430042

The small noise arbitrage pricing theory and its welfare implications

Satchell, Stephen - In: Linear factor models in finance, (pp. 150-158). 2005

Persistent link: https://www.econbiz.de/10003304035

The Value of Arbitrage

Dávila, Eduardo; Graves, Daniel D.; Parlatore, Cecilia - National Bureau of Economic Research - 2022

This paper studies the social value of closing price differentials in financial markets. We show that arbitrage gaps … (price differentials between markets) exactly correspond to the marginal social value of executing an arbitrage trade. We … further show that arbitrage gaps and measures of price impact are sufficient to compute the total social value from closing an …

Persistent link: https://www.econbiz.de/10012938713

The value of arbitrage

Dávila, Eduardo; Graves, Daniel; Parlatore, Cecilia - In: Journal of political economy 132 (2024) 6, pp. 1947-1993

Persistent link: https://www.econbiz.de/10014633522

Insiders-outsiders, transparency and the value of the ticker

Cespa, Giovanni (contributor); Foucault, Thierry (contributor) - 2008

We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are...