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Events

Home Events
Strategic Arbitrage in Segmented Markets
Strategic Arbitrage in Segmented Markets
Strategic Arbitrage in Segmented Markets
Strategic Arbitrage in Segmented Markets
15Nov
Finance

Strategic Arbitrage in Segmented Markets

15 November 2023 | 2:30p.m.-4:00p.m
KK 1121, K. K. Leung Building, HKU
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Speaker:

Dr. Svetlana Bryzgalova
Assistant Professor of Finance
London Business School

Abstract:

We propose a model in which arbitrageurs act strategically in markets with entry costs. In a repeated game, arbitrageurs choose to specialize in some markets, which leads to the highest combined profits. We present evidence consistent with our theory from the options market, in which suboptimally unexercised options create arbitrage opportunities for intermediaries. Using transaction-level data, we identify the corresponding arbitrage trades. Consistent with the model, only 57% of these opportunities attract entry by arbitrageurs. Of those that do, 50% attract only one arbitrageur. Finally, our paper details how market participants circumvent a regulation devised to curtail this arbitrage strategy.

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Strategic Arbitrage in Segmented Markets
About Speaker
Dr. Svetlana Bryzgalova

Assistant Professor of Finance | London Business School

Strategic Arbitrage in Segmented Markets
15 November 20232:30p.m.-4:00p.m
KK 1121, K. K. Leung Building, HKU
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