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We test the hypothesis that arbitrageurs amplify economic shocks in equity markets. The ability of speculators to hold short positions depends on asset values: shorts are often reduced following good ...
Distressed Sales and Financial Arbitrageurs: Front-running in Illiquid Markets
Distressed Sales Financial Arbitrageurs Illiquid Markets
2010/7/2
We investigate the impact of an arbitrageur’s activities in an illiquid market, where there is a large distressed trader and a fringe of small traders. Large traders trade strategically considering pr...