No‐arbitrage matrices of exchange rates: Some characterizations

We provide some characterizations of the absence of triangular arbitrage in the spot exchange rates of a group of countries. When the matrix of exchange rates of the group does not fulfill the conditions given in those characterizations, we provide a measure of distance to the space of matrices of e...

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Veröffentlicht in:	International journal of economic theory 2021-12, Vol.17 (4), p.375-389
Hauptverfasser:	Maldonado, Wilfredo L., Egozcue, Juan José, Pawlowsky‐Glahn, Vera
Format:	Artikel
Sprache:	eng
Schlagworte:	Arbitrage compositional data analysis foreign exchange market Foreign exchange markets Foreign exchange rates Matrices triangular arbitrage
Online-Zugang:	Volltext
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