The Statistical Limit of Arbitrage

We are grateful for comments from Adem Atmaz, Lars Hansen, Ye Luo, Andreas Neuhierl, Markus Pelger, Seth Pruitt, Yao Zeng, and seminar and conference participants at Columbia University, Indiana University, Louisiana State University, Princeton University, ITAM Business School, University of Cincinnati, University of Chicago, Yale School of Management, EPFL, ETH Zurich, Stockholm Business School, University of Gothenburg, University of Liverpool, University of Oxford, City University of Hong Kong, Gregory Chow Seminar Series in Econometrics and Statistics, HKUST, KAIST, Peking University, Shanghai University of Finance and Economics, Southern University of Science and Technology, Tsinghua University, University of Melbourne, Sao Paulo School of Economics, American Finance Association Annual Meetings, NBER Summer Institute, Jacobs Levy Center Frontiers in Quantitative Finance Conference, Stanford Institute for Theoretical Economics, SFS Cavalcade North America, Annual SoFiE Conference, Global AI Finance Research Conference in Singapore, China International Conference in Finance, and Wabash River Finance Conference. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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