Can we please sumarise 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 please add more? Please share a link and/or a brief description.

  • $\begingroup$ "Arbitrage" is broad field. The tools and concepts used in arbitrage would be a book. $\endgroup$ Mar 13, 2013 at 18:31
  • $\begingroup$ thanks. yes, sure, but as above: we can highlight main ideas. is there something as important as above which I haven't mentioned? $\endgroup$
    – 4pie0
    Mar 13, 2013 at 18:33

2 Answers 2


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.

  • $\begingroup$ 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 $\endgroup$
    – 4pie0
    Mar 13, 2013 at 19:08
  • 3
    $\begingroup$ @cf16 You aren't in a position to make demands. $\endgroup$ Mar 13, 2013 at 19:39
  • $\begingroup$ @chrisaycock it is not demand $\endgroup$
    – 4pie0
    Mar 13, 2013 at 19:41
  • 2
    $\begingroup$ 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 :) $\endgroup$
    – Andrew
    Mar 13, 2013 at 23:18
  • $\begingroup$ @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 $\endgroup$
    – 4pie0
    Mar 14, 2013 at 20:39

Listing a few topics:

  • Arbitrage in commodities
  • Arbitrage in cryptocurrencies - Specific coin that’s cheaper on Exchange A than on Exchange B. Buy the coin on Exchange A, sell it for a higher price on Exchange B. It sounds easy but the implementation is difficult.
  • Index Arbitrage - Difference in value between a portfolio of stocks constituting an index and the futures on that index.
  • ADF test and Johansen test - To check cointegration
  • Half-life of mean-reverting time series

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