Arbitraging Arbitrageurs
提出一个大型套利者市场的战略交易理论，指出资本不足使套利者交易可预测，其他参与者可反向交易获利，甚至向脆弱套利者放贷以延长交易时间，这可能导致价格扭曲和强制平仓。
ABSTRACT This paper develops a theory of strategic trading in markets with large arbitrageurs. If arbitrageurs are not well capitalized, capital constraints make their trades predictable. Other market participants can exploit this by trading against them. Competitors may find it optimal to lend to arbitrageurs that are financially fragile; additional capital makes the arbitrageurs more viable, and lenders can reap profits from trading against them for a longer time. The strategic behavior of these market participants has implications for the functioning of financial markets. Strategic trading may produce significant price distortions, increase price manipulation, and trigger forced liquidations of large traders.