112 citations
- University of OxfordGB7 papers
- University of MiamiUS6 papers
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- Harvard University PressUS2 papers
- Hong Kong University of Science and TechnologyHK2 papers
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- Université Fédérale de Toulouse Midi-PyrénéesFR2 papers
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Showing 2008Show all
2 papers · 1 filter
q-fin.ST2008★ 24 cited
The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market
Daniel J. Fenn, Sam D. Howison, Mark McDonald +2
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but th…
physics.soc-ph2008★ 65 cited
Dynamic communities in multichannel data: An application to the foreign exchange market during the 2007--2008 credit crisis
Daniel J. Fenn, Mason A. Porter, Mark McDonald +3
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network co…