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

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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. We observe an increase in the magnitude of price discrepancies and fundamental mispricing when traders are unable to engage in arbitrage across assets.

References
Duan, J., & Hanaki, N. (2026). An experimental analysis on cross-asset arbitrage opportunity and the law of one price. Journal of Economic Behavior & Organization, 248, 107640.

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