Periodic Sequences of Arbitrage: A Tale of Four Currencies

Autor:	Cross, Rod, Kozyakin, Victor, O'Callaghan, Brian, Pokrovskii, Alexei, Pokrovskiy, Alexey
Rok vydání:	2011
Předmět:	Quantitative Finance - General Finance Mathematics - Dynamical Systems Quantitative Finance - Trading and Market Microstructure 91B26 91B60
Zdroj:	Metroeconomica 63:2 (2012), pp. 250-294
Druh dokumentu:	Working Paper
DOI:	10.1111/j.1467-999X.2011.04140.x
Popis:	This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage operations when four currencies are present may appear periodic in nature, and not involve smooth convergence to a "balanced" ensemble of exchange rates in which the law of one price holds. The goal of this article is to understand some interesting features of sequences of arbitrage operations, features which might well be relevant in other contexts in finance and economics. Comment: 35 pages, 48 bibliography references, submitted to Metroeconomica
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1112.5850 Zobrazit plný text záznamu View this record from Arxiv