. Formally the performances of medium frequency statistical arbitrage strategies are much better than the performance of their …

price processes in a frictionless, continuous trading market under a no arbitrage equilibrium. These results are not …. This paper shows that, for strongly Markov processes, the inadmissible class is empty. Hence the no-arbitrage equilibrium …

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 …

This paper systematically examines the impact of nine popular arbitrage costs measures on cross-sectional mispricing … based on ten well-known and robust anomalies. We show that binding arbitrage barriers slowly change over time. In early … years with few publications documenting return anomalies, arbitrage costs have tiny impact even though mispricing is present …

It is shown that the requirement to satisfy the no-arbitrage conditions specifies the Nelson–Siegel–Svensson model in …

We study arbitrage in ETFs holding illiquid corporate bonds, focusing on authorized participants (APs) and their … sheet in both roles. We find that bond market illiquidity limits ETF arbitrage. Using novel AP-level balance sheet data, we … further find that large bond flow shocks to AP balance sheets also limit ETF arbitrage, leading to persistent relative …

The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently …

I show that an important no-arbitrage consistent but costly collateral rental yield contributes to about two-thirds of …