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 …

and algorithmic counterparts of traders that trade based on technical and fundamental analysis, and statistical arbitrage … arbitrage appears to lead to significant deviation from fundamentals. Our results can facilitate market oversight and provide …

structure classifies rich versus cheap bonds. Convertible bond arbitrage trades, where the trader buys the bond and hedges a … combination of the underlying assets, are subsequently identified. Each bond’s relative cheapness translates to its arbitrage …

exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …

The no arbitrage relation between futures and spot prices implies an analogous relation between futures and spot … consider the no arbitrage constraints. We introduce a two-step estimation procedure for the FVECM parameters and we show the …