Before revision:  This time-consuming settlement process exposes arbitrageurs to price risk and imposes limits to arbitrage. We derive theoretical arbitrage boundaries under general assumptions and show that they increase with expected latency, latency uncertainty, spot volatility , and risk aversion.
After revision:  This time-consuming settlement process exposes arbitrageurs to price risk . We theoretically derive arbitrage bounds that increase with expected latency, latency uncertainty, spot volatility , and risk aversion.