We investigate the arbitrage-free property of stock price models where the local martingale component is based on an … models in the literature admit arbitrage opportunities. We investigate in detail the features of the existing model … specifications which create these arbitrage opportunities, and consequently construct a modification that is arbitrage free …

that the credit-centric approach drives Alpha, focuses managers on the most difficult part of the arbitrage process, can …

theory research world. These models are extensively tested for developed markets. Focusing on arbitrage pricing theory, this … paper tries to analyze its effect in the Indian stock market. The advantages of arbitrage pricing theory (APT) over the …

Corporation (HSBC) did not suffer from traditional external limits to arbitrage such as transactions costs and risk measures. One … possible explanation is that self-imposed limits to arbitrage (SILTA) such as internal restrictions on position size allowed …

In frictionless markets, the absence of arbitrage opportunities is equivalent to the existence of a martingale process … costs, absence of arbitrage opportunities is related to the existence of a consistent price system; It plays the same role … asset is nonnegative. The Robust No Free Lunch condition RNFL means that the absence of asymptotic arbitrage opportunities …

The intention of this study is to analyze the variability of Arbitrage price theory (APT) in case of KSE. The data from …

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 …