A microscopic model of triangular arbitrage
arXiv:physics/0602171 · doi:10.1016/j.physa.2006.05.046
Abstract
We introduce a microscopic model which describes the dynamics of each dealer in multiple foreign exchange markets, taking account of the triangular arbitrage transaction. The model reproduces the interaction among the markets well. We explore the relation between the parameters of the present microscopic model and the spring constant of a macroscopic model that we proposed previously.
17 pages, 14 figures
References in corpus (10)
- Hierarchical Structure in Financial Markets
- Universal and non-universal properties of cross-correlations in financial time series
- Dynamics of market correlations: Taxonomy and portfolio analysis
- Correlations in Economic Time Series
- Time dependent cross correlations between different stock returns: A directed network of influence
- Characteristics of the Korean stock market correlations
- Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions
- Increasing market efficiency: Evolution of cross-correlations of stock returns
- Predictability of Currency Market Exchange
- Triangular arbitrage as an interaction among foreign exchange rates