A microscopic model of triangular arbitrage

We introduce a microscopic model which describes the dynamics of each dealer in multiple foreign exchange markets, taking account of the triangular arbitrage transaction. The model reproduces the interaction among the markets well. We explore the relation between the parameters of the present microscopic model and the spring constant of a macroscopic model that we proposed previously.

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Year of publication:	2006
Authors:	Aiba, Yukihiro ; Hatano, Naomichi
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 371.2006, 2, p. 572-584
Publisher:	Elsevier
Subject:	Econophysics \| Triangular arbitrage: Financial market \| Foreign exchange \| Agent model

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010591327