Execution Risk in High-Frequency Arbitrage
研究了高频套利中执行风险的作用，指出即使市场存在完美替代品和可转换性，套利也会因竞争套利者的拥挤效应而受限，并用实证支持了执行风险的相关性。
In this paper, we investigate the role of execution risk in high-frequency trading through arbitrage strategies. We show that if rational agents face uncertainty about completing their arbitrage portfolios, then arbitrage is limited even in markets with perfect substitutes and convertibility. Using a simple model, we demonstrate that this risk arises from the crowding effect of competing arbitrageurs entering the same trade and inflicting negative externalities on each other. Our empirical results provide evidence that support the relevance of execution risk in high-frequency arbitrage. This paper was accepted by Wei Xiong, finance.