Detecting and identifying arbitrage in the spot foreign exchange market

DOI10.1080/14697688.2019.1639801zbMath1431.91377OpenAlexW2963349878MaRDI QIDQ5215443

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Publication date: 10 February 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1639801

zbMATH Keywords

foreign exchangePerron-Frobenius theoremtriangular arbitrage

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial markets (91G15)

Cites Work

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• Triangular arbitrage as an interaction among foreign exchange rates
• Triangular arbitrage and negative auto-correlation of foreign exchange rates

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