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 …

, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing …

, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing …

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 …

In this paper, we challenge the notion that exploiting “riskless” arbitrage is riskless. We show that if rational … agents face uncertainty about completing their arbitrage portfolios, then arbitrage is limited even in markets with perfect … substitutes and convertibility. We call this phenomenon “execution risk” in arbitrage exploitation. Using a simple model, we …

arbitrage trades during the second half of 2015 and the first quarter of 2016. In this paper, we examine three explanations … appear small relative to the post-crisis increase in cost of capital. We present the mechanics of the CDS-bond arbitrage …

individual limits of arbitrage rather than use their combined resources to capture every available arbitrage opportunity. Such … deliberate limits to arbitrage arise because the communication of an arbitrage position reveals the idea underlying it. The … absence of property rights on arbitrage ideas implies that this creates future competition. We let arbitrage opportunities …

We develop a theory of arbitrage-free dispersion (AFD) that characterizes the testable restrictions of asset pricing …

---both across banks and currency areas. For most market participants, the no-arbitrage relation holds fairly well when implemented … using marginal funding costs and risk-free investment instruments. However, a few high-rated banks do enjoy CIP arbitrage … demand for dollar funding, by inducing opposite (arbitrage) flows from high-rated banks. Arbitrage trades are difficult to …