Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/84329
Authors: 
Apreda, Rodolfo
Year of Publication: 
2003
Series/Report no.: 
Serie Documentos de Trabajo, Universidad del CEMA: Área: finanzas economía 239
Abstract: 
Although the standard trading arbitrage model provides with simple settings and adjustment mechanisms so as to take profit whenever an arbitrage opportunity comes up, empirical evidence has been piling up showing that this point of view suffers from many downsides, leaving distinctive issues unresolved. By the same token, similar shortcoming prevent the standard financial arbitrage model from being functional to real markets environments. To overcome such drawbacks, this paper sets forth a new approach that is grounded on transactional algebras, which shapes the arbitrage gaps of return within institutional settings, to give account of market microstructure features and enlarged transaction costs.
Subjects: 
Arbitrage
Transaction Costs
Residual Information Sets
Differential Rates of Return
Arbitrage Gaps
JEL: 
G10
G12
G14
Document Type: 
Working Paper

Files in This Item:
File
Size
679.99 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.