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can we please summarise here some of the basic concepts, tools used in arbitrage and statistical arbitrage in real life?

  1. ARB: benefit from price difference on same asset
  2. ARB: difference between stock index and syntetic index constructed from stocks
  3. ARB: triangular arb (is this being exploited? by who? where?)
  4. ARB/STATARB: difference between futures and theo futures
  5. STATARB: cointegration/correlation

these are main directions I can think about at the moment. can you add more? link or brief description

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"Arbitrage" is broad field. The tools and concepts used in arbitrage would be a book. – chrisaycock♦ Mar 13 at 18:31
thanks. yes, sure, but as above: we can highlight main ideas. is there something as important as above which I haven't mentioned? – restart.localhost.localdomain Mar 13 at 18:33

1 Answer

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There are many. Just to list a few:

Capital structure arbitrage (CDS)
Convertible bonds arbitrage
Merger arbitrage
Latency arbitrage
Exchange-traded funds arbitrage
Correlation and volatility arbitrage
Municipal bond relative value arbitrage
Regulatory arbitrage
...

They are all easily googled. However, the main idea is always the same.

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please follow my convention and describe each term in one short sentence. what mean i.e. "Exchange-traded funds arbitrage", it is like "stocks arbitrage". and next example: "latency arbitrage" - isn't it what I described as"ARB: benefit from price difference on same asset"? please add tag ARB or STATARB – restart.localhost.localdomain Mar 13 at 19:08
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@cf16 You aren't in a position to make demands. – chrisaycock♦ Mar 13 at 19:39
@chrisaycock it is not demand – restart.localhost.localdomain Mar 13 at 19:41
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I'll answer some questions if you tell me what your profile picture is a volatility smile of, why you are going flat vol, and why are you linearly interpolating :) – Andrew Mar 13 at 23:18
@Andrew it is CHF/PLN FX pair, some day of February 2011, it is converted from Delta-Term surface which was already created with linear interpolation. in my conversion algorithm interpolation doesn't matter so much because I take every point $(\tau,\Delta,\sigma)$ of original surface and convert to corresponding $(\tau,K,\sigma)$ point. ofcourse there is still question what interpolation to use for this new surface – restart.localhost.localdomain Mar 14 at 20:39

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