Triangular arbitrage and negative auto-correlation of foreign exchange rates

We show, on the basis of our recently introduced stochastic model, that triangular arbitrage makes the auto-correlation function of foreign exchange rates negative in a short time scale.

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Year of publication:	2003
Authors:	Aiba, Yukihiro ; Hatano, Naomichi ; Takayasu, Hideki ; Marumo, Kouhei ; Shimizu, Tokiko
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 324.2003, 1, p. 253-257
Publisher:	Elsevier
Subject:	Econophysics \| Stochastic process \| Triangular arbitrage \| Financial markets \| Foreign exchange

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

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