Triangular arbitrage in the foreign exchange market

被引：0

作者：

Aiba, Y ^{[1
]}

Hatano, N ^{[1
]}

Takayasu, H ^{[1
]}

Marumo, K ^{[1
]}

Shimizu, T ^{[1
]}

机构：

[1] Aoyama Gakuin Univ, Dept Phys, Setagaya Ku, Tokyo 1578572, Japan

来源：

APPLICATION OF ECONOPHYSICS, PROCEEDINGS | 2004年

关键词：

foreign exchange; triangular arbitrage; auto correlation; stochastic model;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In the present article, we review two of our previous works. First, we show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the yen-euro rate. Second, we propose a model of foreign exchange rates with an interaction. The model includes effects of triangular arbitrage transactions as an interaction among three rates. The model explains the actual data of the multiple foreign exchange rates well. Finally, we suggest, on the basis of the model, that triangular arbitrage makes the auto-correlation function of foreign exchange rates negative in a short time scale.

引用

页码：18 / 23

页数：6