The Value of Arbitrage
Published: August 2022
Researchers examine the social value of arbitrage, or the closing price differentials in financial markets.
Researchers find that arbitrage gaps correspond exactly with the marginal social value of executing an arbitrage trade. They also show, in a theoretical model, that arbitrage is more socially valuable in more liquid markets.
Abstract and Citation
Dávila, Eduardo, et al. The Value of Arbitrage. 1 Aug. 2022, https://www.eduardodavila.com/research/davila_graves_parlatore_value_arbitrage.pdf.