Triangular arbitrage as an interaction among foreign exchange rates
Triangular arbitrage as an interaction among foreign exchange rates
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三角套利作为外汇汇率之间的相互作用
DOI：
10.1016/s0378-4371(02)00799-9
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发表时间：
2002
影响因子：
3.3
通讯作者：
Tokiko Shimizu
中科院分区：
文献类型：
--
作者：
Y. Aiba;N. Hatano;H. Takayasu;Kouhei Marumo;Tokiko Shimizu
本文首先通过对日元兑美元汇率、美元兑欧元汇率和日元兑欧元汇率的时间依赖性分析，证明了在即期外汇市场上确实存在三角套利机会。接下来，我们提出了一个相互作用的外汇汇率模型。该模型包括三角套利交易的影响，作为三个利率之间的相互作用。该模型较好地解释了多种汇率的实际数据。
We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen–dollar rate, the dollar–euro rate and the yen–euro rate. Next, we propose a model of foreign exchange rates with an interaction. The model includes effects of triangular arbitrage transactions as an interaction among three rates. The model explains the actual data of the multiple foreign exchange rates well.