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Autor:innen: 
Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
Serie Documentos de Trabajo No. 239
Verlag: 
Universidad del Centro de Estudios Macroeconómicos de Argentina (UCEMA), Buenos Aires
Zusammenfassung: 
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.
Schlagwörter: 
Arbitrage
Transaction Costs
Residual Information Sets
Differential Rates of Return
Arbitrage Gaps
JEL: 
G10
G12
G14
Dokumentart: 
Working Paper

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