Various Types of Arbitrage Strategies

• Main Authors: Tiencheng Ho, 何天成
• Other Authors: Anchor Lin
• Format: Others
• Language: en_US
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/82651406874484161084

碩士 === 國立中興大學 === 財務金融學系 === 93 === This paper reviews the theoretical methods and the empirical results of various types of arbitrage strategies in past numerical studies. Although arbitrage can be generally dividend into two categories including risk-free arbitrage and risky arbitrage, there is still a certain level of risk which arbitrageurs should take, no matter what kinds of arbitrage. Since there are limitations and transactions costs in conducting arbitraging strategies, the profit of arbitrage may be plentiful in theory but it could be misleading in practice after considering transactions costs and potential risk. It appears that all arbitrage strategies are theoretically sound, but it is debatable that arbitrage strategies will succeed in the real world. The key factors for arbitrage strategies to succeed depend on how to identify various types of arbitrage strategies, exploit market inefficiency, to reduce transaction costs, and to evaluate potential risk.