Triangular arbitrage and negative auto-correlation of foreign exchange rates

DOI10.1016/S0378-4371(02)01905-2zbMath1072.91600OpenAlexW2088370686MaRDI QIDQ1873969

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

Publication date: 21 May 2003

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01905-2

zbMATH Keywords

stochastic model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Trade models (91B60)

Related Items (3)

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

• Triangular arbitrage as an interaction among foreign exchange rates
• Introduction to Econophysics

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