Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, whereas empirical applications of APT … enables me to apply the theory of Hilbert spaces in a natural way. The expected return on any asset can always be approximated …

sufficient conditions that let the approximation degenerates to the traditional Ross' arbitrage pricing theory are provided …This paper studies the implications of arbitrage in a large asset market under conditions of (Knightian) uncertainty ….First, I adapt the notion of arbitrage to a market in which the assets' returns are affected by uncertainty across probability …

derive this model, I generalize Ross arbitrage pricing theory to flows. I also obtain several useful theoretical results …I generalize the textbook arbitrage-pricing framework to characterize how uninformative flows generate price impacts …, including flow-based stochastic discount factor, flow-based Hansen-Jagannathan bound, portfolio flow theory, and formalization …

) arbitrage theory of corporate liability pricing to study theoretical constraints on the risk premia that could be generated in … the market for call money. Apparently, if there is no arbitrage in the U.S. financial markets, the implication is that the …

from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead … arbitrage opportunities. The framework is then evaluated on six months of DAX 30 cross-listed stocks’ LOB data obtained from …

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …

We investigate whether transaction costs, arbitrage risk, and short-sale constraints explain the abnormal returns of … transaction costs and concentrated in the most easily arbitraged stocks, those with low arbitrage risk and short-sale constraints …. Moreover, the managed-market strategy only provides superior performance when sentiment is high, consistent with prior theory …

generated by the post-discovery long-short arbitrage trading. Consistent with this prediction, we find that hedge funds exploit …

The capital structure arbitrage strategy exploits the discrepancies between the credit default swap and equity markets … traditional arbitrage trading during the financial crisis. Furthermore, the returns of the new strategies have lower correlation … with market returns than the standard capital structure arbitrage …

This paper develops useful theory of arbitrage and risk arbitrage. It describes a prize winning successful risk … arbitrage involving Nikkei put warrants trading on the Toronto and American stock exchanges. The paper describes the various … types of contracts and how the risk arbitrage was traded and executed …