Triangular arbitrage as an interaction among foreign exchange rates

DOI10.1016/S0378-4371(02)00799-9zbMath0995.91025arXivcond-mat/0202391OpenAlexW2052731693MaRDI QIDQ1600262

Tokiko Shimizu, Hideki Takayasu, Kouhei Marumo, Yukihiro Aiba, Naomichi Hatano

Publication date: 12 June 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0202391

zbMATH Keywords

interaction

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (4)

Triangular arbitrage and negative auto-correlation of foreign exchange rates ⋮ No‐arbitrage matrices of exchange rates: Some characterizations ⋮ Detecting and identifying arbitrage in the spot foreign exchange market ⋮ Compositional Analysis of Exchange Rates

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Unnamed Item

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