Arbitrage Opportunity - Explore the Science & Experts | ideXlab

Scan Science and Technology

Contact Leading Edge Experts & Companies

Arbitrage Opportunity

The Experts below are selected from a list of 123 Experts worldwide ranked by ideXlab platform

Chris Brooks – 1st expert on this subject based on the ideXlab platform

  • The Determinants of a Cross Market Arbitrage Opportunity: Theory and Evidence for the European Bond Market
    SSRN Electronic Journal, 2020
    Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris Brooks

    Abstract:

    The focus of this paper is on the study of the drivers of a cross market Arbitrage profit. Many papers have investigated the risk of trading Arbitrage opportunities and the empirical existence of these events at the high frequency level for different markets. But none of the previous work has asked the simple question of how these events are formed in the first place. That is, what are the drivers behind the occurrence of a risk free profit Opportunity? In this paper we investigate the theoretical (and empirical) implications of a cross platform Arbitrage profit. Following a microstructure model we show that this event is the result of microstructure frictions in trading. We are able to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level of which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). In the second (empirical) part of the paper, we investigate the predictions from the theoretical model for the European Bond market with an event study framework and also using a formal econometric estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly with the predictions from the structural model. The event of an Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.

  • the determinants of a cross market Arbitrage Opportunity theory and evidence for the european bond market
    Annals of Finance, 2014
    Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris Brooks

    Abstract:

    This paper examines the determinants of cross-platform Arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade. Copyright Springer-Verlag Berlin Heidelberg 2014

  • The determinants of a cross market Arbitrage Opportunity: theory and evidence for the European bond market
    Annals of Finance, 2013
    Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris Brooks

    Abstract:

    This paper examines the determinants of cross-platform Arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.

Marcelo Perlin – 2nd expert on this subject based on the ideXlab platform

  • The Determinants of a Cross Market Arbitrage Opportunity: Theory and Evidence for the European Bond Market
    SSRN Electronic Journal, 2020
    Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris Brooks

    Abstract:

    The focus of this paper is on the study of the drivers of a cross market Arbitrage profit. Many papers have investigated the risk of trading Arbitrage opportunities and the empirical existence of these events at the high frequency level for different markets. But none of the previous work has asked the simple question of how these events are formed in the first place. That is, what are the drivers behind the occurrence of a risk free profit Opportunity? In this paper we investigate the theoretical (and empirical) implications of a cross platform Arbitrage profit. Following a microstructure model we show that this event is the result of microstructure frictions in trading. We are able to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level of which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). In the second (empirical) part of the paper, we investigate the predictions from the theoretical model for the European Bond market with an event study framework and also using a formal econometric estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly with the predictions from the structural model. The event of an Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.

  • the determinants of a cross market Arbitrage Opportunity theory and evidence for the european bond market
    Annals of Finance, 2014
    Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris Brooks

    Abstract:

    This paper examines the determinants of cross-platform Arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade. Copyright Springer-Verlag Berlin Heidelberg 2014

  • The determinants of a cross market Arbitrage Opportunity: theory and evidence for the European bond market
    Annals of Finance, 2013
    Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris Brooks

    Abstract:

    This paper examines the determinants of cross-platform Arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.

Alfonso Dufour – 3rd expert on this subject based on the ideXlab platform

  • The Determinants of a Cross Market Arbitrage Opportunity: Theory and Evidence for the European Bond Market
    SSRN Electronic Journal, 2020
    Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris Brooks

    Abstract:

    The focus of this paper is on the study of the drivers of a cross market Arbitrage profit. Many papers have investigated the risk of trading Arbitrage opportunities and the empirical existence of these events at the high frequency level for different markets. But none of the previous work has asked the simple question of how these events are formed in the first place. That is, what are the drivers behind the occurrence of a risk free profit Opportunity? In this paper we investigate the theoretical (and empirical) implications of a cross platform Arbitrage profit. Following a microstructure model we show that this event is the result of microstructure frictions in trading. We are able to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level of which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). In the second (empirical) part of the paper, we investigate the predictions from the theoretical model for the European Bond market with an event study framework and also using a formal econometric estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly with the predictions from the structural model. The event of an Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.

  • the determinants of a cross market Arbitrage Opportunity theory and evidence for the european bond market
    Annals of Finance, 2014
    Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris Brooks

    Abstract:

    This paper examines the determinants of cross-platform Arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade. Copyright Springer-Verlag Berlin Heidelberg 2014

  • The determinants of a cross market Arbitrage Opportunity: theory and evidence for the European bond market
    Annals of Finance, 2013
    Co-Authors: Marcelo Perlin, Alfonso Dufour, Chris Brooks

    Abstract:

    This paper examines the determinants of cross-platform Arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an Arbitrage Opportunity into three distinct factors: the fixed cost to trade the Opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market Arbitrage Opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.