A microscopic model of triangular arbitrage

Yukihiro Aiba and Naomichi Hatano

Physica A: Statistical Mechanics and its Applications, 2006, vol. 371, issue 2, 572-584

Abstract: We introduce a microscopic model which describes the dynamics of each dealer in multiple foreign exchange markets, taking account of the triangular arbitrage transaction. The model reproduces the interaction among the markets well. We explore the relation between the parameters of the present microscopic model and the spring constant of a macroscopic model that we proposed previously.

Keywords: Econophysics; Triangular arbitrage: Financial market; Foreign exchange; Agent model (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:371:y:2006:i:2:p:572-584

DOI: 10.1016/j.physa.2006.05.046

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