In the modern version of Arbitrage Pricing Theory suggested by Kabanov and Kramkov the fundamental fi nancially … meaningful concept is an asymptotic arbitrage. The 'real world' large market is represented by a sequence of 'models' and, though … each of them is arbitrage free, investors may obtain non-risky pro ts in the limit. Mathematically, absence of the …

arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …