We survey theoretical developments in the literature on the limits of arbitrage. This literature
investigates how costs faced by arbitrageurs can prevent them from eliminating mispricings …

We propose a multiperiod model in which competitive arbitrageurs exploit discrepancies
between the prices of two identical risky assets traded in segmented markets. Arbitrageurs …

In the absence of frictions, the value of the underlying asset implied by option prices must
equal its actual market value. With frictions, however, this requirement need not hold. Using …

In this paper we survey the theoretical and empirical literatures on market liquidity. We
organize both literatures around three basic questions:(a) how to measure illiquidity,(b) how …

We test a theory of the interaction between investors' heterogeneity, risk, transaction costs,
and trading volume. We take advantage of the specific nature of trading motives around the …

We survey the theoretical literature on market liquidity. The literature traces illiquidity, ie, the
lack of liquidity, to underlying market imperfections. We consider six main imperfections …

This article highlights the impact of short selling restrictions and early unwinding
opportunities on the relation between futures and spot prices. Within a multiperiod …

Publisher Summary This chapter describes the development of the market in stock-index
futures. The theoretical relationship between the futures price on a stock-index contract and …

Our value proposition is a high frequency index arbitrage systematic strategy that operates
in the sub-second time frame-it takes decisions on all instrument's universe in less than 100 …

Execution lags and imperfect arbitrage Page 1 Economics Letters 43 (1993) 103- 109 0165-1765/93/$Oh.O0
0 1993 Elsevier Science Publishers BV All rights reserved Execution lags and imperfect …