-lived correlated assets we examine the impact of alternative types of arbitrage-seeking algorithms. These arbitrage robot traders vary … in their latency and whether they make or take market liquidity. All arbitrage robot traders we examine generate greater … conformity to the law-of-one-price across the twin markets. However, only the liquidity providing arbitrage robot trader moves …

, contemporary stock market designs are prone to latency arbitrage. In turn, we propose a new order type, which allows traders to …-frequency traders, even if they operate at the speed of light, can no-longer engage in latency arbitrage. …

I explore the premise that the abundance of arbitrage capital varies over time and that future asset prices, proxied by … a set of cross-sectional stock anomalies, depend on arbitrage capital availability. When arbitrage capital is abundant … strategies. In contrast, when arbitrage capital is scarce, investors are unable to deploy enough capital to take advantage of …

Arbitrage trading strategies are a class of trading strategies that involve buying and selling financial instruments to … take advantage of price discrepancies. The goal of arbitrage trading is to make a profit from the differences in prices … between securities or markets, without taking on significant directional risk. Arbitrage trading strategies typically rely on …

We propose a new approach to modeling informed order flows. Our approach generalizes arbitrage pricing to incorporate …

This study uncovers a unique dividend-tax arbitrage strategy that provides high-bracket investors the opportunity to … present empirical evidence highlighting the activities of arbitrage traders in both stock and warrant markets. These traders … simultaneously sell stocks and buy call warrants before the ex-dividend day and close their arbitrage positions thereafter. Our …

particular on arbitrage opportunities, I construct an “externality-mimicking portfolio” whose returns track the externalities …

-call parity. The options order imbalance is separated into two components: one that contains arbitrage trading and one that does … not. Intuitively, the proportion of the former component increases when arbitrage opportunities between financial markets … trade to exploit arbitrage opportunities between options and futures (stock index) markets, However, these patterns …