Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading
构建了一个收敛交易均衡模型，分析套利者如何在有限资本下跨期配置，其活动虽减少价格偏差，但也可能造成损失，甚至导致相同资产价格发散，并解释套利者收益的负偏态及与市场流动性的联动。
ABSTRACT I develop an equilibrium model of convergence trading and its impact on asset prices. Arbitrageurs optimally decide how to allocate their limited capital over time. Their activity reduces price discrepancies, but their activity also generates losses with positive probability, even if the trading opportunity is fundamentally riskless. Moreover, prices of identical assets can diverge even if the constraints faced by arbitrageurs are not binding. Occasionally, total losses are large, making arbitrageurs' returns negatively skewed, consistent with the empirical evidence. The model also predicts comovement of arbitrageurs' expected returns and market liquidity.