arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …

We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need … dynamics for credit market allowing for arbitrage possibilities. Moreover, arbitrage credit bubbles for both base credit assets … and credit derivatives are explicitly computed for the market dynamics minimizing the arbitrage …

A central conjecture of behavioural finance is that arbitrage opportunities appear as a result of systematic irrational … investment behaviour and persist since real-world arbitrage trades actually involve costs and risks due to market frictions and … non-fundamental risk. This paper shows that the no-arbitrage condition can emerge from the market selection process even …

We develop a tractable model to study the macroeconomic impacts of limited arbitrage by linking arbitrage activities … arbitrage failures and recessions. Collateralization adds extra value to real-sector investments, and ultimately helps boost …

arbitrage crashes and failure of systemically important intermediaries during the global financial crisis. Intermediaries pledge … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of … movements and losses. This further reduces the collateral value of arbitrage portfolios and triggers more fire-sales in both …

investment. We then impose that price theories be compatible with the observed equilibrium: they should satisfy a no-arbitrage …

In an economy with a non-atomic measure space of assets and exchangeable risks, the Arbitrage Pricing Theory (APT …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …