Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets
Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets
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DOI：
10.3386/w18541
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发表时间：
2012-11
期刊：
影响因子：
--
通讯作者：
Takatoshi Ito;Kenta Yamada;M. Takayasu;H. Takayasu
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文献类型：
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作者：
Takatoshi Ito;Kenta Yamada;M. Takayasu;H. Takayasu
利用从EBS（外汇主要交易平台的电子经纪系统）数据中获得的“公司”报价，我们发现无风险套利机会——免费午餐——确实发生在外汇市场上，但通常只持续几秒钟。“免费午餐”的形式是(a)一个货币对的负价差和(b)涉及三个货币对的三角套利关系。后者比前者发生得更频繁。这种套利机会往往发生在市场活跃和波动的时候。在过去的12年里，免费午餐机会的数量急剧减少，而在一秒钟内消失的机会的概率稳步增加。预期利润规模高于交易成本；当免费午餐早一秒出现时，买卖双方同时发生的交易（或三角套利时的三个货币交易）发生的频率更高，这表明免费午餐机会被积极利用。1999年，它在一秒钟内消失的可能性不到50%，但到2009年增加到约90%。近年来，这种情况发生的频率较低，消失得更快，这可归因于交易微观结构的变化：主要客户系统（较弱的银行可以使用较强银行的信贷额度）的引入和普及，以及交易员的编程计算机直接连接到EBS计算机。
Using the "firm" quotes obtained from the tick-by-tick EBS (electronic broking system that is a major trading platform for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign exchange markets, but it typically last only a few seconds. "Free lunch" is in the form of (a) negative spreads in a currency pair and (b) triangular arbitrage relationship involving three currency pairs. The latter occur much more often than the former. Such arbitrage opportunities tend to occur when the markets are active and volatile. Over the 12-year, tick-data samples, the number of free lunch opportunities has dramatically declined and the probability of the opportunities disappearing within one second has steadily increased. The size of expected profits is higher than transaction costs; trades that simultaneously take place on both sides of ask and bid (or three currency trades in case of triangular arbitrage) occur more often when free lunch appeared one second earlier than otherwise, suggesting that free lunch opportunities are actively taken. The probability of its disappearance within one second was less than 50% in 1999, but increased to about 90% by 2009. Less frequent occurrence and quicker disappearance in recent years are attributable to changes in trading microstructure: an introduction and proliferation of the Primary Customer system (weaker banks can use stronger banks' credit lines) and of direct connection of traders' programmed computers to the EBS computer.