Triangular arbitrage as an interaction among foreign exchange rates

Physica A: Statistical Mechanics and its Applications

Volumn 310, Issue 3-4, 2002, Pages 467-479

  Aiba, Yukihiro ^a   Hatano, Naomichi ^a   Takayasu, Hideki ^b   Marumo, Kouhei ^c   Shimizu, Tokiko ^d  

^a AOYAMA GAKUIN UNIVERSITY   (Japan)

^b SONY COMPUTER SCIENCE LABORATORIES INC   (Japan)

^c Inst for Monetary Economic Studies   (Japan)

^d BANK OF JAPAN   (Japan)

Author keywords

Econophysics; Financial markets; Foreign exchange; Stochastic process; Triangular arbitrage

Indexed keywords

DATA ACQUISITION; ECONOMICS; FINANCE; RANDOM PROCESSES;

FOREIGN EXCHANGES;

STATISTICAL MECHANICS;

EID: 0037100042     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)00799-9     Document Type: Article

References (9)

1. Triangular arbitrage in the spot and forward foreign exchange markets
2. The variation of certain speculative prices
3. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation
4. Generalized autoregressive conditional heteroskedasticity
5. Fast, accurate algorithm for numerical simulation of Lévy stable stochastic processes