find support for risk-shifting and regulatory arbitrage motives at banks in that carry trade behavior is stronger for large …

. This is especially true for the profits from riskless arbitrage. Yet, there is conflicting evidence in the financial … economic literature over whether high frequency trading (HFT) profits, in general, (Baron et al [2012]) and arbitrage profits … firms in being faster if arbitrage profit opportunities persist (in the absence of limits to arbitrage). There are several …

We measure the incidence of latency arbitrage for cross-listed stocks around the time of an exogenous shock that made … markets. We document a sharp decline in the incidence of cross-market arbitrage opportunities across the Nordic markets for … cross-listed stocks from 2009 to 2010 and later. Over the five year sample period 77% of the observed cross-market arbitrage …

arbitrage potential we use an adapted version of Stoll's put-call parity model. By calculating deviations from the theoretical …

. We show that the dynamics of arbitrage capital are self-correcting: following a shock that depletes capital, returns … respect to arbitrage capital. Diversification of arbitrageurs across markets induces contagion, but generally lowers …

This paper shows how arbitrage activity contributes to the convergence of liquidity across markets. Based on simple … arbitrage arguments, I show how arbitrageurs' market and limit orders create co-movement across markets of bid prices, ask … prices, and bid-ask spreads. Empirically, I document how the intensity of arbitrage activity increases the co-movement of …

We study alternative arbitrage strategies for stocks of Russian companies and the corresponding depository receipts … issued in European exchanges. We describe schemes of arbitrage strategies with and without conversion, estimate all related … transaction costs and compare the net returns. We find significantly profitable arbitrage opportunities. The long-short strategies …

We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage … profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of … the period October 2000-April 2012. Our results also suggest that the arbitrage profits increased just after the subprime …