 Winstgevendheid en winstkansen bij valuta‐arbitrageC. van de Panne and A. Stranders Statistica Neerlandica, 1960, vol. 14, issue 2, 187-204 Abstract: Profits and Profit Probabilities in Exchange Arbitrage. For the case in which in each of a number of countries buying and selling prices for the currencies of the other countries are quoted by a number of banks, a method is developed by means of which the chains of transactions which yield the highest profit, if any, are traced systematically. This method is applied to constellations of buying and selling prices in five countries at three different points of time; the maximum proft of chains was0.090, 0.477 and 0.143 per thousand, respectively. When it is assumed that the logarithms of changes of buying and selling prices are normally distributed around o with constant variance and temporally independent, the probability that there is a positive profit can be determined for each chain at each point of time as soon as an estimate of the variance is available. In the same way the mathematical expectation of profit, when possible losses are considered as o (no action being taken), can be determined. Both quantities are calculated for two points of time for a limited number of chains. Date: 1960 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:14:y:1960:i:2:p:187-204 Ordering information: This journal article can be ordered from Access Statistics for this article Statistica Neerlandica is currently edited by Miroslav Ristic, Marijtje van Duijn and Nan van Geloven More articles in Statistica Neerlandica from Netherlands Society for Statistics and Operations Research |
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