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 …

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

increase in post-event short selling and changes in funds' derivative positions. Finally, I find that the long-short return …

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 …

This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM …. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing … relation in place of the market. Thus the difference between the arbitrage argument and the CAPM argument in Black and Scholes …

I argue that arbitrage mistranslates factor information from ETFs to constituent securities and distorts comovement … but by their portfolio weights, causing securities to comove with the ETF based on a measure I call arbitrage sensitivity … – a combination of portfolio weight and price impact sensitivity – rather than fundamental exposures. Arbitrage …

from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead … arbitrage opportunities. The framework is then evaluated on six months of DAX 30 cross-listed stocks’ LOB data obtained from …

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

We measure the incidence of latency arbitrage for cross-listed stocks around the time of an exogenous shock that made … markets. We document a sharp decline in the incidence of cross-market arbitrage opportunities across the Nordic markets for … cross-listed stocks from 2009 to 2010 and later. Over the five year sample period 77% of the observed cross-market arbitrage …

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