Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … arbitrage and liquidity influence each other in the world’s largest platinum futures markets on exchanges in New York and Tokyo …

Pragmatic-world nominal riskless rates are non-negative. However, conventional arbitrage theory has yet to develop a …

widens with positive probability at each time instant. With the increase of arbitrage capital on the market, the … predictability of the dynamics of the gap decreases, and the arbitrage opportunity turns into a risky speculative bet. In a …

By employing Lucas’ (1982) model, this study proposes an arbitrage relationship – the Uncovered Equity Return Parity …

is an arbitrage cap on its premium resulting from new issues. This censors the distribution of the premium and causes its …

actually the cost. This confusion has to dissipate with arbitrage at the market where the short selling is institutionalized or … arbitrage, which recurs to dissipate all the differences; i.e. the expected returns must be converged to the single rate and we … can ignore the beta as a component of the equity cost. The arbitrage results in valuation differences in the end, such as …

I develop a model of statistical arbitrage trading in an environment with "fat-tailed" information. If risk …

pairs. To the contrary, algorithmic traders contribute to the creation of arbitrage opportunities as a byproduct of … barriers to the creation of arbitrage opportunities, which explains the reduced occurrence of arbitrage opportunities …

We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage … profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of … the period October 2000-April 2012. Our results also suggest that the arbitrage profits increased just after the subprime …