Dynamics of Arbitrage
利用美国原油市场数据，研究了现金持有套利的动态过程，发现套利相关的库存变动主要发生在NYMEX期货交割点，且库存不仅响应当期期货价差，还受滞后价差影响，存储容量限制可能导致套利机会持续存在。
Abstract We study the dynamics of cash-and-carry arbitrage using the U.S. crude oil market. Sizable arbitrage-related inventory movements occur at the New York Mercantile Exchange (NYMEX) futures contract delivery point but not at other storage locations, where instead, operational factors explain most inventory changes. We add to the theory-of-storage literature by introducing two new features. First, due to arbitrageurs contracting ahead, inventories respond to not only contemporaneous but also lagged futures spreads. Second, storage-capacity limits can impede cash-and-carry arbitrage, leading to the persistence of unexploited arbitrage opportunities. Our findings suggest that arbitrage-induced inventory movements are, on average, price stabilizing.