Triangular arbitrage and negative auto-correlation of foreign exchange rates

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

Physica A: Statistical Mechanics and its Applications, 2003, vol. 324, issue 1, 253-257

Abstract: We show, on the basis of our recently introduced stochastic model, that triangular arbitrage makes the auto-correlation function of foreign exchange rates negative in a short time scale.

Keywords: Econophysics; Stochastic process; Triangular arbitrage; Financial markets; Foreign exchange (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:324:y:2003:i:1:p:253-257

DOI: 10.1016/S0378-4371(02)01905-2

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