. We show that the dynamics of arbitrage capital are self-correcting: following a shock that depletes capital, returns … respect to arbitrage capital. Diversification of arbitrageurs across markets induces contagion, but generally lowers …

productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of …), and can easily incur a simultaneous repo run and arbitrage crashes, where liquidity in several markets dry up altogether …We investigate the channel through which fluctuations in the market liquidity of real-sector repo collateral cause …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital …, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that …

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital …, liquidity, and asset prices. Arbitrageurs exploit price discrepancies between assets traded in segmented markets, and in doing … so provide liquidity to investors. A collateral constraint limits their positions as a function of capital. We show that …

Slow-moving capital cannot fully explain the 2005 and 2008 arbitrage crashes in theconvertible bond market. Faced with …

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 … sets all prices. We show that at least two types of segmentation drive arbitrage dynamics. First, funding is segmented …

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … arbitrage and liquidity influence each other in the world’s largest platinum futures markets on exchanges in New York and Tokyo …