equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …

We show theoretically and empirically that no-arbitrage pricing magnifies the importance of noise when replication …

a martingale under an equivalent probability. As a result, in models of asset prices based on such diffusions, arbitrage … martingale models of arbitrage and bubbles are not robust to small trading and monitoring frictions …

We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect …://ssrn.com/abstract=3245641. Using empirical data, we identify the cross-section of cryptoassets for which this altcoin-Bitcoin arbitrage alpha is …

– 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 …

. 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 …