Search Results - subject:"Triangular arbitrage"

Fact and Fiction in FX Arbitrage Processes

Cross, Rod; Kozyakin, Victor - Economics Department, University of Strathclyde - 2012

The efficient markets hypothesis implies that arbitrage opportunities in markets such as those for foreign exchange (FX) would be, at most, short-lived. The present paper surveys the fragmented nature of FX markets, revealing that information in these markets is also likely to be fragmented. The...

Persistent link: https://www.econbiz.de/10010568546

THE MIRAGE OF TRIANGULAR ARBITRAGE IN THE SPOT FOREIGN EXCHANGE MARKET

FENN, DANIEL J.; HOWISON, SAM D.; MCDONALD, MARK; … - In: International Journal of Theoretical and Applied … 12 (2009) 08, pp. 1105-1123

We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We … show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find … triangular arbitrage over a prolonged period of time. Our results suggest that the foreign exchange market is internally self …

Persistent link: https://www.econbiz.de/10008493064

Purchasing Power Parity with Strategic Markets

Papadopoulos, Konstantinos - In: Topics in Theoretical Economics 8 (2008) 1, pp. 1418-1418

The paper shows that market power may be an additional cause for the failure of PPP without making the usual assumption of segmentation of national markets. We construct an international multi-currency economy based on the strategic market game model with multiple trading posts, where, besides...

Persistent link: https://www.econbiz.de/10005579554

A microscopic model of triangular arbitrage

Aiba, Yukihiro; Hatano, Naomichi - In: Physica A: Statistical Mechanics and its Applications 371 (2006) 2, pp. 572-584

, taking account of the triangular arbitrage transaction. The model reproduces the interaction among the markets well. We …

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

Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index

Hurd, Matthew; Salmon, Mark; Schleicher, Christoph - C.E.P.R. Discussion Papers - 2005

We model the joint risk neutral distribution of the euro-sterling and the dollar-sterling exchange rates using option-implied marginal distributions that are connected via a copula function that satisfies the triangular no-arbitrage condition. We then derive a univariate distribution for a...

Persistent link: https://www.econbiz.de/10005661769

Triangular arbitrage in the foreign exchange market

Aiba, Yukihiro; Hatano, Naomichi - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 174-177

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. …

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

Triangular arbitrage and negative auto-correlation of foreign exchange rates

Aiba, Yukihiro; Hatano, Naomichi; Takayasu, Hideki; … - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 253-257

We show, on the basis of our recently introduced stochastic model, that triangular arbitrage makes the auto …

Persistent link: https://www.econbiz.de/10010873950

Triangular arbitrage as an interaction among foreign exchange rates

Aiba, Yukihiro; Hatano, Naomichi; Takayasu, Hideki; … - In: Physica A: Statistical Mechanics and its Applications 310 (2002) 3, pp. 467-479

We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing … foreign exchange rates with an interaction. The model includes effects of triangular arbitrage transactions as an interaction …

Persistent link: https://www.econbiz.de/10010588554