If arbitrageurs are constrained by finite supplies of capital, even an arbitrage trade that is certain to converge profitably may nevertheless have to be abandoned at a loss, for instance because those who provide arbitrageurs with capital withdraw it prematurely in the face of adverse price movements. The analysis of this risk in Shleifer and Vishny 1997 was prescient: as chapter 8 suggests, a flight of arbitrage capital of this kind was integral to the crisis surrounding Long-Term Capital Management.

Donald MacKenzie, An Engine, Not a Camera, loc. 1217