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