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Detecting Arbitrage in the Foreign Exchange Market
Cui, Zhenyu - 2018
) arbitrage opportunities among spot currency exchange rates in a foreign exchange market. We obtain sufficient conditions for … excluding the triangular arbitrage opportunities in a market with or without market frictions, i.e. transaction costs. Then we … propose a very efficient computational approach not only to detect triangular arbitrage opportunities in real time but also to …
Persistent link: https://www.econbiz.de/10012921244
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Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets
Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - In: Central European journal of economic modelling and … 13 (2021) 2, pp. 105-146
as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from … the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention … fiat currencies. We do not find evidence for substantial deviations from the triangular arbitrage parity when only …
Persistent link: https://www.econbiz.de/10012619980
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Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets
Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - 2020 - This Version: July 2020
as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from … the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention … fiat currencies. We do not find evidence for substantial deviations from the triangular arbitrage parity when only …
Persistent link: https://www.econbiz.de/10012251074
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Foreign Exchange Dealer Asset Pricing
Reitz, Stefan - 2019
We show that excess returns to the carry trade can be interpreted as compensation for foreign exchange dealers' capital risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process we also suggest that it is their marginal value of...
Persistent link: https://www.econbiz.de/10012860811
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012196296
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The pricing of unexpected volatility in the currency market
Lu, Wenna; Copeland, Laurence S.; Xu, Yongdeng - 2021
Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns. This paper employs two time-varying factor models: a threshold model and a Markov-switching model to price the excess returns from the currency carry trade. We show that the...
Persistent link: https://www.econbiz.de/10012591966
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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...
Persistent link: https://www.econbiz.de/10010410031
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GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Dang, Duy-Minh - 2011
We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of exotic cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel pricing of long-dated foreign exchange (FX)...
Persistent link: https://www.econbiz.de/10013133913
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Foreign Exchange Markets with Last Look
Cartea, Álvaro - 2018
We examine the Foreign Exchange (FX) spot price spreads with and without Last Look on the transaction. We assume that brokers are risk-neutral and they quote spreads so that losses to latency arbitrageurs (LAs) are recovered from other traders in the FX market. These losses are reduced if the...
Persistent link: https://www.econbiz.de/10012937142