No‐arbitrage matrices of exchange rates: Some characterizations

DOI10.1111/ijet.12249zbMath1530.91411MaRDI QIDQ6077840

Juan José Egozcue, Vera Pawlowsky-Glahn, Wilfredo L. Maldonado

Publication date: 18 October 2023

Published in: International Journal of Economic Theory (Search for Journal in Brave)

zbMATH Keywords

foreign exchange marketcompositional data analysistriangular arbitrage

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Independence in Contingency Tables Using Simplicial Geometry
• Triangular arbitrage as an interaction among foreign exchange rates
• Triangular arbitrage and negative auto-correlation of foreign exchange rates
• Tools for compositional data with a total
• Geometric approach to statistical analysis on the simplex

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