  We introduce the concept of spontaneous symmetry breaking to arbitrage
modeling. In the model, the arbitrage strategy is considered as being in the
symmetry breaking phase and the phase transition between arbitrage mode and
no-arbitrage mode is triggered by a control parameter. We estimate the control
parameter for momentum strategy with real historical data. The momentum
strategy aided by symmetry breaking shows stronger performance and has a better
risk measure than the naive momentum strategy in U.S. and South Korean markets.
