In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that … solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker than … classical absence of arbitrage opportunities. We center our analysis on this characterization of market viability and derive …

We develop a theory of arbitrage-free dispersion (AFD) that characterizes the testable restrictions of asset pricing …-maturity bond returns and is insufficient for pricing optimal portfolios of market equity and short-term bonds …

arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure … from the underlying equity itself, or delta. The results question the efficacy of the common arbitrage strategy of only …

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 …

. 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 …

exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …

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 …

Real-world arbitrage often involves a limited number of large financial intermediaries (e.g. dealers, hedge funds) with … price impact. I study a multi-period model of imperfectly competitive arbitrage, in which supply shocks generate price di …-varying. The model also off ers new testable predictions, in particular that the market structure is a driver of arbitrage speed …

Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the … expected return and its covariance with the factors. The APT, however, does not preclude arbitrage over dynamic portfolios …

derive this model, I generalize Ross arbitrage pricing theory to flows. I also obtain several useful theoretical results …I generalize the textbook arbitrage-pricing framework to characterize how uninformative flows generate price impacts …, including flow-based stochastic discount factor, flow-based Hansen-Jagannathan bound, portfolio flow theory, and formalization …