Toxic Arbitrage
研究发现，当价格对新信息调整滞后时会出现短暂套利机会，这些机会对做市商有害，因为它们面临以过时报价交易的风险。理论表明，更多此类机会和更快的反应会损害流动性，作者用三角套利数据提供了支持证据。
Short-lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities and faster responses to these opportunities should impair liquidity. We provide supporting evidence using data on triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and arbitrageurs’ relative speed are higher. Overall, our findings suggest that the price efficiency gain of high-frequency arbitrage comes at the cost of increased adverse selection risk. \n