The Value of Arbitrage
收藏NBER2022-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w29744
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资源简介：
This paper studies the social value of closing price differentials in financial markets. We show that arbitrage gaps (price differentials between markets) exactly correspond to the marginal social value of executing an arbitrage trade. We further show that arbitrage gaps and measures of price impact
提供机构：
美国国家经济研究局
创建时间：
2022-02-01
