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 29 arbitrage spreads that we study is 21%. These … segmentation drive arbitrage dynamics. First, funding is segmented--certain trades rely on specific funding sources, making their …

With the high-frequency data of firm quotes in the transaction platform of foreign exchanges, arbitrage profit … pairs--can be detected to emerge and disappear in the matter of seconds. The frequency and duration of such arbitrage … arbitrage opportunity and places orders for multiple transactions--two in negative spreads and three in triangular arbitrage …

A major question in the literature on the classical gold standard concerns the efficiency of international arbitrage … tests of various asset market criteria, including speculative efficiency and interest arbitrage. These studies have suffered …

for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign … pair and (b) triangular arbitrage relationship involving three currency pairs. The latter occur much more often than the … former. Such arbitrage opportunities tend to occur when the markets are active and volatile. Over the 12-year, tick …