exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …

This paper shows how arbitrage activity contributes to the convergence of liquidity across markets. Based on simple … arbitrage arguments, I show how arbitrageurs' market and limit orders create co-movement across markets of bid prices, ask … prices, and bid-ask spreads. Empirically, I document how the intensity of arbitrage activity increases the co-movement of …

recent developments in the theory of ordered vector spaces, specifically strongly reflexive cones and cones with semi …

arbitrage or financial innovation arise from mispricings caused by the presence of confused investors or other distortions, such … market-making is harmful. Rather than arbitrage facilitating the flow of risk to those who can most efficiently bear it, this … harmful arbitrage allocates risk to those who least understand it. The beneficial effects of efficient pricing on real …

We investigate the arbitrage-free property of stock price models where the local martingale component is based on an … models in the literature admit arbitrage opportunities. We investigate in detail the features of the existing model … specifications which create these arbitrage opportunities, and consequently construct a modification that is arbitrage free …

interest rate parity) for a wide range of currencies with respect to the dollar since the global financial crisis. Theory of … the foreign exchange (FX) swap market predicts that shortage of global arbitrage capital (GAC), by making the FX swap …

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 …

theory research world. These models are extensively tested for developed markets. Focusing on arbitrage pricing theory, this … paper tries to analyze its effect in the Indian stock market. The advantages of arbitrage pricing theory (APT) over the …