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An experimental analysis on cross-asset arbitrage opportunity and the law of one price

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  • Jieyi Duan
  • Nobuyuki Hanaki

Abstract

This study experimentally investigates the impact of the lack of arbitrage opportunities across different assets on the realization of the law of one price. Our experiment is based on the framework established by Charness and Neugebauer (2019) where participants, acting as traders, are involved in transactions with two different types of assets. An increase in the magnitude of price discrepancies and fundamental mispricing are observed when traders are unable to engage in arbitrage between different assets.

Suggested Citation

  • Jieyi Duan & Nobuyuki Hanaki, 2024. "An experimental analysis on cross-asset arbitrage opportunity and the law of one price," ISER Discussion Paper 1257r, Institute of Social and Economic Research, The University of Osaka, revised Feb 2026.
    • Handle: RePEc:dpr:wpaper:1257r
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