We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …

Speculators often advertise arbitrage opportunities in order to persuade other investors and thus accelerate the … correction of mispricing. We show that in order to minimize the risk and the cost of arbitrage an investor who identifies several … "advertisability" and accuracy of future news about it. When several arbitrageurs identify the same arbitrage opportunities, their …

both proxies for cross-sectional and time-varying limits to arbitrage. Prices typically diverge following a sequence of …

arbitrage opportunities is created. While these ETFs are not perfect substitutes, we show that their minor differences are not … responsible for the mispricing. Spreads increase just before arbitrage opportunities, consistent with a decrease in liquidity …

Theory suggests that traders will be more reluctant to trade on negative private information about an ongoing merger if … to arbitrage and it's consequence on the informativeness of prices. Using the existence of an acquirer termination fees …

, and the transaction cost and market friction are considered in building the arbitrage-free spread interval. By comparing … Treasury futures. We find that there are many arbitrage opportunities among the three varieties, and the market is not fully … Treasury futures market will lead to higher market efficiency, shorter duration of arbitrage opportunities, and a faster return …

In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …