Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading

By Péter Kondor. 2009

146 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/6bcf12d95f42b6b6a33dce201ee1907653bfdfeb

How researchers see this paper

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In Accounting

1. B. Do
2. R. Faff
3. Rong Qi Liew
4. Yuan Wu
5. Nick Bontis
6. Gerhard Kristandl

In Finance

1. B. Do
2. R. Faff
3. Rong Qi Liew
4. Yuan Wu
5. Christopher Krauss
6. Nick Bontis
7. Gerhard Kristandl

Citations in the corpus

• Does Simple Pairs Trading Still Work? (2010, background): “Alternatively, Kondor (2009) showed in his model that not immediately trading away mispricings (simply because they may improve tomorrow) may be in the arbitrageur’s interest.”
• Limits of Arbitrage (2010, unknown): “Kondor (2009) shows that amplification can arise even in the absence of exogenous shocks, purely as a consequence of arbitrage activity.”
• Bubbles, Financial Crises, and Systemic Risk (2012, unknown): “In Kondor (2009), arbitrageurs also face margin constraints.”