-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform …

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 …

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 …

research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in … financial practice. It should provide a positive expected excess return and a small or zero potential loss. Convexity arbitrage … has been described in academic literature before, but an assessment of its practical success is lacking. Arbitrage …

other HFTs that engage in latency arbitrage upon public information. The impact of the two different sources of risk depends …