Toxic arbitrage opportunities are caused by information arriving in one market leading to short lived price deviations … between markets. This paper shows that the direction of such arbitrage opportunities provides valuable insights into price … unbiased measure of information shares based on the frequency of toxic arbitrage opportunities. This measure has several …

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 …

During times of market stress, arbitrage capital cannot be timely deployed, and assets trade away from fundamentals …

and algorithmic counterparts of traders that trade based on technical and fundamental analysis, and statistical arbitrage … arbitrage appears to lead to significant deviation from fundamentals. Our results can facilitate market oversight and provide …