The Value of Arbitrage
研究了金融市场上消除价差的社会价值，发现套利缺口等于执行套利交易的边际社会价值，且流动性越高的市场套利总社会价值越大，并计算了消除利率平价偏离的福利收益。
This paper studies the social value of closing price differentials in financial markets. We show that arbitrage gaps exactly correspond to the marginal social value of executing an arbitrage trade. Moreover, arbitrage gaps and price impact measures are sufficient to compute the total social value from closing an arbitrage gap, which may emerge for different reasons, including nonpecuniary benefits of holding particular assets. Theoretically, we show that, for a given arbitrage gap, the total social value of arbitrage is higher in more liquid markets. We compute the welfare gains from closing arbitrage gaps for covered interest parity violations.