Add to ORKGAn arbitrage is a serious inefficiency of a financial market, and it is traditionally considered to completely disrupt a price system and to allow agents for growing unlimitedly rich. By means of a simple example, this paper points out that this is only true when dealing with positively homogeneous price systems; in- deed, in more general financial market models (taking into con- sideration, e.g., liquidity limitations), arbitrages might just yield a light effect without overall critical consequences (allowing, in par- ticular, to realise just a limited, and possibly very small, gain)
It is often argued that asset prices exhibit patterns incompatible with the behaviour of rational, o...
This paper studies the social value of closing price differentials in financial markets. We show tha...
We propose a multiperiod model in which competitive arbitrageurs exploit discrepancies between the p...
An arbitrage is a serious inefficiency of a financial market, and it is traditionally considered to ...
Abstract There is an extensive literature claiming that it is often difficult to make use of arbitra...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
∗We are grateful to seminar participants at McGill University and the University of Wisconsin-Madiso...
We survey theoretical developments in the literature on the limits of arbitrage. This literature inv...
In the framework of economics models with unbounded short sales a number of different conditions lim...
Abstract This paper develops a model in which arbitrageurs are collectively unconstrained, but may s...
This paper develops a model in which arbitrageurs are collectively unconstrained, but may still pref...
We test the limits of arbitrage argument for the survival of irrationality-induced financial anomali...
Despite being a mainstay of modern economic theory, the simple concept of arbitrage is sorely misuse...
It is often argued that asset prices exhibit patterns incompatible with the behaviour of rational, o...
This paper studies the social value of closing price differentials in financial markets. We show tha...
We propose a multiperiod model in which competitive arbitrageurs exploit discrepancies between the p...
An arbitrage is a serious inefficiency of a financial market, and it is traditionally considered to ...
Abstract There is an extensive literature claiming that it is often difficult to make use of arbitra...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
∗We are grateful to seminar participants at McGill University and the University of Wisconsin-Madiso...
We survey theoretical developments in the literature on the limits of arbitrage. This literature inv...
In the framework of economics models with unbounded short sales a number of different conditions lim...
Abstract This paper develops a model in which arbitrageurs are collectively unconstrained, but may s...
This paper develops a model in which arbitrageurs are collectively unconstrained, but may still pref...
We test the limits of arbitrage argument for the survival of irrationality-induced financial anomali...
Despite being a mainstay of modern economic theory, the simple concept of arbitrage is sorely misuse...
It is often argued that asset prices exhibit patterns incompatible with the behaviour of rational, o...
This paper studies the social value of closing price differentials in financial markets. We show tha...
We propose a multiperiod model in which competitive arbitrageurs exploit discrepancies between the p...