One-Penny Arbitrages, or: A Free Snack without a Free Lunch

An arbitrage is a serious inefficiency of a financial market, and it is traditionally considered to completely disrupt a price system and to allow agents for growing unlimitedly rich. By means of a simple example, this paper points out that this is only true when dealing with positively homogeneous price systems; indeed, in more general financial market models (taking into consideration, e.g., liquidity limitations), arbitrages might just yield a light effect without overall critical consequences (allowing, in particular, to realise just a limited, and possibly very small, gain).