susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …We study a segmented-markets setting in which self-fulfilling volatility can arise. The only requirements are (i) asset … valuation ratios stationary (e.g., cash flow growth rises when valuations rise). We prove that when self-fulfilling volatility …

. We show that the dynamics of arbitrage capital are self-correcting: following a shock that depletes capital, returns … more time to convergence. Arbitrageurs cut their positions more in those trades, except when volatility concerns the … respect to arbitrage capital. Diversification of arbitrageurs across markets induces contagion, but generally lowers …

Slow-moving capital cannot fully explain the 2005 and 2008 arbitrage crashes in theconvertible bond market. Faced with …

We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and … constraints facing intermediaries. The average pairwise correlation between the twenty-nine arbitrage spreads that we study is 22 … sets all prices. We show that at least two types of segmentation drive arbitrage dynamics. First, funding is segmented …

exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These … international option returns exhibits a mispricing by sorting on ex-ante volatility returns. In addition, selling international ETP … economically large and pervasive internationally, whereas they are comparably small domestically. While volatility hedge funds are …

susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …We study a segmented-markets setting in which self-fulfilling volatility can arise. The only requirements are (i) asset … valuation ratios stationary (e.g., cash flow growth rises when valuations rise). We prove that when self-fulfilling volatility …

allow explaining and replicating most stylized facts of foreign exchange markets, namely (i) the excess volatility of the … exchange rate with respect to its fundamentals, (ii) booms, busts and precarious equilibria, (iii) clusters of volatility, (iv …

allow explaining and replicating most stylized facts of foreign exchange markets, namely (i) the excess volatility of the … exchange rate with respect to its fundamentals, (ii) booms, busts and precarious equilibria, (iii) clusters of volatility, (iv …

– the Securities and Exchange Board of India (SEBI) are making Arbitrage funds get attention. Low risk, attractive tax … their arbitrage schemes with a minimum of 65 percent exposure to equity and equity-equivalent exposure to explore arbitrage … opportunities in the stock market for hedging or portfolio balancing. This paper examines if the fund managers of Indian arbitrage …