benchmark discourages arbitrage activity in both high-alpha, low-beta stocks and low-alpha, high-beta stocks …

We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs …

offered arbitrage positions, and that they experienced, on average, negative margins from these postings. Our findings …

In this work, we identify the most general measure of arbitrage for any market model governed by Ito processes. We show … that our arbitrage measure is invariant under changes of numeraire and equivalent probability. Moreover, such measure has a … geometrical interpretation as a gauge connection. The connection has zero curvature if and only if there is no arbitrage. We prove …

that the credit-centric approach drives Alpha, focuses managers on the most difficult part of the arbitrage process, can …

Corporation (HSBC) did not suffer from traditional external limits to arbitrage such as transactions costs and risk measures. One … possible explanation is that self-imposed limits to arbitrage (SILTA) such as internal restrictions on position size allowed …

individual limits of arbitrage rather than use their combined resources to capture every available arbitrage opportunity. Such … deliberate limits to arbitrage arise because the communication of an arbitrage position reveals the idea underlying it. The … absence of property rights on arbitrage ideas implies that this creates future competition. We let arbitrage opportunities …