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 …

rate to use in common valuation formulas. We apply arbitrage theory in a riskless, as well as risky, (multi-period) economy …'s initial endowment.With tax liabilities that are a convex function of the tax base we identify a new kind of arbitrage: trading … ‘bounded' arbitrage opportunities.Going beyond earlier research, we are able to give a complete characterization based on …

I argue that arbitrage mistranslates factor information from ETFs to constituent securities and distorts comovement … but by their portfolio weights, causing securities to comove with the ETF based on a measure I call arbitrage sensitivity … – a combination of portfolio weight and price impact sensitivity – rather than fundamental exposures. Arbitrage …

, and recovery rate. This complexity requires a proper no-arbitrage approach so that the two types of debt are priced …

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 …

exists, arbitrage opportunities must also exist. Conversely, at times when arbitrage profits exist, asset markets are … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …

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 …

Many arbitrage strategies are dominated by a few large arbitrageurs who recognize their price impact. I model …

Estimates of mispricing, such as deviations from no-arbitrage relations, strongly comove across five financial markets …. One common component---the arbitrage gap---explains the majority of variability in mispricing estimates for futures …, Treasury securities, foreign exchange, and options. Prominent equity anomalies also comove significantly with the arbitrage gap …

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 …