Triangular arbitrage in the foreign exchange market

We first review our previous work, showing what is the triangular arbitrage transaction and how to quantify the triangular arbitrage opportunity. Next we explain that the correlation of the foreign exchange rates can appear without actual triangular arbitrage transaction.

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Year of publication:	2004
Authors:	Aiba, Yukihiro ; Hatano, Naomichi
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 344.2004, 1, p. 174-177
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

Persistent link: https://www.econbiz.de/10010591587