We measure the incidence of latency arbitrage for cross-listed stocks around the time of an exogenous shock that made … markets. We document a sharp decline in the incidence of cross-market arbitrage opportunities across the Nordic markets for … cross-listed stocks from 2009 to 2010 and later. Over the five year sample period 77% of the observed cross-market arbitrage …

limits to arbitrage. We derive theoretical arbitrage boundaries under general assumptions and show that they increase with …, we estimate arbitrage boundaries due to settlement latency of on average 124 basis points, covering 88% of the observed …

, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing …

, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing …

We develop a theory of arbitrage-free dispersion (AFD) that characterizes the testable restrictions of asset pricing …

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …

inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed …

We analyse questions of arbitrage in fnancial markets in which asset prices change in time as stationary stochastic … framework of this model, we find conditions that are necessary and sufficient for the absence of arbitrage opportunities. We …

concept of no asymptotic arbitrage (of the first kind) which is invariant under discounting. We give two dual …,∞) can be viewed as a large financial market and how no asymptotic arbitrage, both classic and in our new sense, then relates … to no-arbitrage properties directly on [0,∞) …

, and proofs has been presented that these fractional Black-Scholes models are free of arbitrage. These results on absence … of arbitrage complelety contradict a number of earlier results in the literature which prove that the fractional Black …-Scholes model (and related models) will in fact admit arbitrage. The object of the present paper is to resolve this contradiction by …