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A general equilibrium analysis of strategic arbitrage

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  • Zigrand, Jean-Pierre

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  • Zigrand, Jean-Pierre, 2004. "A general equilibrium analysis of strategic arbitrage," Journal of Mathematical Economics, Elsevier, vol. 40(8), pages 923-952, December.
    • Handle: RePEc:eee:mateco:v:40:y:2004:i:8:p:923-952
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    Cited by:

    1. Péter Kondor, 2009. "Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading," Journal of Finance, American Finance Association, vol. 64(2), pages 631-655, April.
    2. Andrés Carvajal, 2018. "Arbitrage pricing in non-Walrasian financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 66(4), pages 951-978, December.
    3. Rohit Rahi & Jean-Pierre Zigrand, 2009. "Strategic Financial Innovation in Segmented Markets," The Review of Financial Studies, Society for Financial Studies, vol. 22(8), pages 2941-2971, August.
    4. Rahi, Rohit & Zigrand, Jean-Pierre, 2013. "Walrasian foundations for equilibria in segmented markets," LSE Research Online Documents on Economics 62008, London School of Economics and Political Science, LSE Library.
    5. Michail Anthropelos & Constantinos Kardaras, 2018. "Price Impact Under Heterogeneous Beliefs and Restricted Participation," Papers 1802.09954, arXiv.org, revised Dec 2023.
    6. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October.
    7. Andrés Carvajal & Marek Weretka, 2012. "No-arbitrage, state prices and trade in thin financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 50(1), pages 223-268, May.
    8. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2004. "Highwaymen or heroes: should hedge funds be regulated?," LSE Research Online Documents on Economics 24782, London School of Economics and Political Science, LSE Library.
    9. Anthropelos, Michail & Kardaras, Constantinos, 2024. "Price impact under heterogeneous beliefs and restricted participation," Journal of Economic Theory, Elsevier, vol. 215(C).
    10. Zigrand, Jean-Pierre, 2006. "Endogenous market integration, manipulation and limits to arbitrage," Journal of Mathematical Economics, Elsevier, vol. 42(3), pages 301-314, June.

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