interventions aimed at countering dark pool latency arbitrage and show that only mechanisms that protect passive dark liquidity are …

We explore arbitrage activities for cross-listed stocks and develop a methodology to study the effect of information … latency in high-frequency trading. The strategy is a hybrid between triangular arbitrage and pairs trading. The strategy can … arbitrage risks are considered. We test the strategy with cross-listed stocks involving three exchanges in Canada and the United …

I generalize the textbook arbitrage-pricing framework to characterize how uninformative flows generate price impacts … derive this model, I generalize Ross arbitrage pricing theory to flows. I also obtain several useful theoretical results …

basic model -- 3.2 Arbitrage and equivalent martingale measures -- 3.3 Examples -- 4 The Continuous-time Trading Model -- 4 …

-Version with Non-Marketable Income -- 1.6. The Segmented Markets Model -- 1.7. Synopsis of the Main Results -- The Role Arbitrage … Played in the Described Asset Pricing Theories -- 2. Taxonomy of Arbitrage in Financial Markets -- 3. Modelling and First … Consequences of Arbitrage and No-Arbitrage Conditions -- 3.1. Notational Conventions; Arbitration and Spreads -- 3.2. Arbitration …

level of spatially separated commodity markets. At this level, price arbitrage and local disparities in production and …

structure classifies rich versus cheap bonds. Convertible bond arbitrage trades, where the trader buys the bond and hedges a … combination of the underlying assets, are subsequently identified. Each bond’s relative cheapness translates to its arbitrage …