Seminar Series

2022 - 2023

Speaker: Vincent Fardeau (HSE, Moscow).

Title: “Arbitrage with Financial Constraints and Market Power”.

Date: Thursday, January 19th at 12h30 (Paris Time).

Abstract: I study how (VaR-based) financial constraints affect liquidity and welfare under different structures of the arbitrage industry. When capital is spread across numerous competitive arbitrageurs, financial constraints may impair their ability to provide liquidity, lowering other investors’ welfare. However, when capital is concentrated among arbitrageurs with market power, introducing constraints can make everyone better off and increase liquidity. Further, alternative constraints (fixed margins, position limits) have the same effects as VaR constraints when arbitrageurs are competitive, but not when they have market power. These results suggest that margin and capital requirements should take the market structure into account.

Bio: Here is a link to the speaker’s website

https://sites.google.com/site/vmfardeau

You are cordially invited to participate to the seminar, which will take place in Room 204, Bosco building.

For more information, please contact: Pierre Mella-Barral p.mella-barral@tbs-education.fr