Triangular arbitrage in the foreign exchange market

Yukihiro Aiba and Naomichi Hatano

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 174-177

Abstract: We first review our previous work, showing what is the triangular arbitrage transaction and how to quantify the triangular arbitrage opportunity. Next we explain that the correlation of the foreign exchange rates can appear without actual triangular arbitrage transaction.

Keywords: Econophysics; Stochastic process; Triangular arbitrage; Financial markets; Foreign exchange (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:174-177

DOI: 10.1016/j.physa.2004.06.110

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