Triangular arbitrage as an interaction among foreign exchange rates
We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the yen-euro rate. Next, we propose a model of foreign exchange rates with an interaction. The model includes e...
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| Sprache: | eng |
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| Zusammenfassung: | We first show that there are in fact triangular arbitrage opportunities in
the spot foreign exchange markets, analyzing the time dependence of the
yen-dollar rate, the dollar-euro rate and the yen-euro rate. Next, we propose a
model of foreign exchange rates with an interaction. The model includes effects
of triangular arbitrage transactions as an interaction among three rates. The
model explains the actual data of the multiple foreign exchange rates well. |
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| DOI: | 10.48550/arxiv.cond-mat/0202391 |