{"paper":{"title":"Real-Time Detection of Local No-Arbitrage Violations","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":[],"primary_cat":"econ.EM","authors_text":"Bo Zhou, Torben G. Andersen, Viktor Todorov","submitted_at":"2023-07-20T13:42:52Z","abstract_excerpt":"This paper focuses on the task of detecting local episodes involving violation of the standard It\\^o semimartingale assumption for financial asset prices in real time that might induce arbitrage opportunities. Our proposed detectors, defined as stopping rules, are applied sequentially to continually incoming high-frequency data. We show that they are asymptotically exponentially distributed in the absence of Ito semimartingale violations. On the other hand, when a violation occurs, we can achieve immediate detection under infill asymptotics. A Monte Carlo study demonstrates that the asymptotic"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2307.10872","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2307.10872/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}