We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect …://ssrn.com/abstract=3245641. Using empirical data, we identify the cross-section of cryptoassets for which this altcoin-Bitcoin arbitrage alpha is …

This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM …. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing … relation in place of the market. Thus the difference between the arbitrage argument and the CAPM argument in Black and Scholes …

I argue that arbitrage mistranslates factor information from ETFs to constituent securities and distorts comovement … but by their portfolio weights, causing securities to comove with the ETF based on a measure I call arbitrage sensitivity … – a combination of portfolio weight and price impact sensitivity – rather than fundamental exposures. Arbitrage …

Cryptocurrency markets exhibit periods of large, recurrent arbitrage opportunities across exchanges. These price … capital controls for the movement of arbitrage capital. Price deviations across countries co-move and open up in times of … large bitcoin appreciation. Countries with higher bitcoin premia over the US bitcoin price see widening arbitrage deviations …

more arbitrage and covary correspondingly more with systematic shocks to arbitrage capital. I show that this prediction …, but also actively shape these risks through the act of arbitrage …

We investigate how security specific mispricing may persist under limits to arbitrage; specifically, when arbitragers …

less investor attention and that are costlier to arbitrage …

. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known … as convexity arbitrage) in financial praxis. This arbitrage is sparsely described in literature and an assessment about … its practical success is missing. Research methodology - Methodology steps: mathematical definition of given arbitrage …