This study suggests a novel approach for decomposing an options order imbalance based on trading motives using put-call parity. The options order imbalance is separated into two components: one that contains arbitrage trading and one that does not. Intuitively, the proportion of the former...

We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the twenty-nine arbitrage spreads that we study is 22%. These low correlations are inconsistent with...

We present a computationally tractable method for simulating arbitrage free implied volatility surfaces. We illustrate how our method may be combined with a factor model for the implied volatility surface to generate dynamic scenarios for arbitrage-free implied volatility surfaces. Our approach...

The Flash Loan Arbitrage bot project entails creating a bot that can use flash loans to perform lucrative arbitrage trades across many decentralised exchanges. To ease arbitrage transactions, the project uses Solidity code to develop a smart contract that interacts with several ERC20 tokens and...

I explore the premise that the abundance of arbitrage capital varies over time and that future asset prices, proxied by a set of cross-sectional stock anomalies, depend on arbitrage capital availability. When arbitrage capital is abundant, investors are able to deploy capital flow successfully,...

Arbitrage trading strategies are a class of trading strategies that involve buying and selling financial instruments to take advantage of price discrepancies. The goal of arbitrage trading is to make a profit from the differences in prices between securities or markets, without taking on...

This study uncovers a unique dividend-tax arbitrage strategy that provides high-bracket investors the opportunity to circumvent taxation on dividend income. As the first comprehensive analysis, we examine diverse investor types, implementation techniques, and implications on stock prices....

We propose a new approach to modeling informed order flows. Our approach generalizes arbitrage pricing to incorporate both information and demand effects, giving rise to a new quadratic factor model of price impacts. Our approach offers two fresh insights into the economics of informed trading....