The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market
Abstract
This paper investigates the factors that drive the occurrence of arbitrage opportunities across different trading platforms in fixed income markets. We develop a structural model that decomposes the likelihood of a cross-market arbitrage opportunity into fixed costs of trading, price update delays, and order flow impact, and test it empirically using European bond market data.
Reference
@article{perlin2013,
title = {The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market},
author = {Marcelo S. Perlin, Alfonso Dufour, Chris Brooks},
journal = {Annals of Finance},
year = {2013},
doi = {10.1007/s10436-013-0242-5},
issn = {1614-2446},
url = {https://doi.org/10.1007/s10436-013-0242-5}
}