-lived correlated assets we examine the impact of alternative types of arbitrage-seeking algorithms. These arbitrage robot traders vary … in their latency and whether they make or take market liquidity. All arbitrage robot traders we examine generate greater … conformity to the law-of-one-price across the twin markets. However, only the liquidity providing arbitrage robot trader moves …

We propose a new approach to modeling informed order flows. Our approach generalizes arbitrage pricing to incorporate …

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 …

explain the average shape of the nominal yield curve, the variation of yields over time, and the predictability of excess bond …-pricing models. -- Term structure ; affine models ; macro-finance ; no-arbitrage …

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 29 arbitrage spreads that we study is 21%. These … segmentation drive arbitrage dynamics. First, funding is segmented--certain trades rely on specific funding sources, making their …