Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … arbitrage and liquidity influence each other in the world’s largest platinum futures markets on exchanges in New York and Tokyo …

fairly valued equity futures depends heavily on the existence of active arbitrage in which stocks and futures are paired off … against one another by professional arbitrageurs seeking to exploit any mispricing. Current constraints on efficient arbitrage … execution. The result of these costs and constraints is that stock versus futures arbitrage in India is presently confined …

-term electricity futures using the gas to generate the electricity to fulfill the futures contracts. The arbitrage consists of buying …

We extend the Limits to Arbitrage literature by studying how physical constraints affect financial arbitrage in … violations of the no-arbitrage futures pricing conditions due to storage capacity constraints at the WTI futures delivery hub. We … arbitrage limits in pricing commodity futures. We also contribute to the Theory of Storage literature, which has largely ignored …

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 …

neither closed nor convex. Regarding hedging, non-linear hedging costs motivate the study of arbitrage free prices for the … of price impact. Additionally, we show arbitrage opportunities, should they arise from claim prices, can be exploited … only for limited position sizes, and may be ignored if outweighed by hedging considerations. We also show that arbitrage …

For the first time in the Turkish stock market, the width of the zero arbitrage band for BIST 30 stock index arbitrage … costs. This study also extends the literature of stock index arbitrage by utilizing intraday data to compute returns for … forward and reverse BIST 30 arbitrage once per minute for 2014 and 2015 futures contracts. These returns enable identification …

Market frictions such as transactions costs, funding constraints and short selling constraints limit arbitrage, but …, we examine the effect of these frictions on arbitrage efficiency of the two markets. We find evidence of significant … cross-sectional variation in the size and asymmetricity of no-arbitrage bands. To the extent that market frictions affect …

Derivatives valuation has strong theoretical support because models are derived from the principle that arbitrage … between the derivative and its underlying will eliminate riskless profits and drive the market price to the model value. "No-arbitrage …, not by theories. In this talk, I discuss how different the arbitrage trade is for different markets and different models …