arXiv research

Geometric arbitrage theory uses quantum mechanics to model market dynamics and arbitrage opportunities.

We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the no-free-lunch-with-vanishing-risk condition …

We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to superreplicate a constant c>1. The optimal arbitrage strategy is the strategy for…

Study calculates arbitrage gains between two markets with limited liquidity.

Markets composed of stocks with capitalization processes represented by positive continuous semimartingales are studied under the condition that the market excess growth rate is bounded away from zero. The following examples of these markets are given: i) a market with a singular covariance matrix and instantaneous rel…

No arbitrage in financial markets with special semimartingales.

This paper analyzes how multiple investors can exploit relative arbitrage opportunities.

We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with la…

The paper explores arbitrage in financial markets under uncertainty using Wasserstein distance.

A stock market is called diverse if no stock can dominate the market in terms of relative capitalization. On one hand, this natural property leads to arbitrage in diffusion models under mild assumptions. On the other hand, it is also easy to construct diffusion models which are both diverse and free of arbitrage. Can o…

Study examines how arbitrage between ETF and futures affects market liquidity during crashes.

Polymarket users exploit mispriced assets for profit.

New method finds better arbitrage opportunities in AMMs.

This paper focuses on the stability of the non-arbitrage condition in discrete time market models when some unknown information $τ$ is partially/fully incorporated into the market. Our main conclusions are twofold. On the one hand, for a fixed market $S$, we prove that the non-arbitrage condition is preserved under a m…

Study upper hedging prices for contingent claims in models with various types of arbitrage.

We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermite markets, we introduce a strategy-specific arbitrage tax on the rate of transaction volume acceleration of the hedging portfolio as the pr…

We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle. --Parameterize arbitrage strategies by its holonomy. --Give the Fundamental Theorem of Asset …

Established a relation between short-term and long-term arbitrage measures.

Ineffective risk measures fail to control risky investor behavior in markets with arbitrage opportunities.

Short selling is key to exploiting arbitrage opportunities in financial markets.

The paper investigates cyclic arbitrage opportunities in decentralized exchanges.

The study finds no evidence of stochastic arbitrage opportunities in S&P 500 index options.

We formalize how markets aggregate via arbitrage and quantify liquidity loss.

All DeFi markets are essentially CFMMs with increasing invariants.

We study the arbitrage opportunities in the presence of transaction costs in a sequence of binary markets approximating the fractional Black-Scholes model. This approximating sequence was constructed by Sottinen and named fractional binary markets. Since, in the frictionless case, these markets admit arbitrage, we aim …

Study arbitrage in financial markets with trading restrictions.

Neural networks can find financial arbitrage opportunities without needing market models.

We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for large financial markets with small proportional transaction costs $\la_n$ on market $n$ in terms of contiguity properties of sequences of equivalent probability measures induced by $\la_n$--consistent p…

This paper deals with the notion of a large financial market and the concepts of asymptotic arbitrage and strong asymptotic arbitrage (both of the first kind), introduced by Yu.M. Kabanov and D.O. Kramkov. We show that the arbitrage properties of a large market are completely determined by the asymptotic behavior of th…

Detects arbitrage in multi-asset derivatives markets.

This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.

We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which only becomes known to the ordinary agents at date T, we give criteria for the No …

Long-term relative arbitrage exists in markets where the excess growth rate of the market portfolio is bounded away from zero. Here it is shown that under a time-homogeneity hypothesis this condition will also imply the existence of relative arbitrage over arbitrarily short intervals.

The paper finds the shortest time to exploit arbitrage in multi-stock markets.

The paper applies thermodynamics to financial markets to prove no-arbitrage constraints.

Model shows triangular arbitrage key to cross-currency correlations in forex markets.

This paper analyzes arbitrage opportunities in Polymarket's NBA markets.

Extends Black-Scholes model to include arbitrage.

If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX) markets, in which trading platforms and information are fragmented. In Kozyakin et …

The paper explores arbitrage opportunities in derivative markets under specific conditions.

The paper explores risk measures and arbitrage in financial markets.

In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a class $\mathcal{S}$ of significant sets, which we call Arbitrage de la classe $\mathcal{S}$. The choice of $\mathcal{S}$ reflects into the int…

This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing relation in place of the market. Thus the difference between the arbitrag…

The paper sets criteria for no arbitrage in complex financial models.

Paper uses GNNs to efficiently detect profitable triangular arbitrage opportunities.

We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage and No Free Lunch with Vanishing Risk. We provide a complete characterisation…

Study compares costs and arbitrage in CEXs vs DEXs, finding DEXs better for large trades.

The recent "correlation breakdown" in the modeling of credit default swaps, in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and argued to be a fundamental market inconsistency rather than an inadequacy of the specific model. As a consequence, marke…