46 citations · 52 across the 2 of their papers we have counts for
2 papers
physics.soc-ph2006★ 6 cited
A microscopic model of triangular arbitrage
Y. Aiba, N. Hatano
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…
cond-mat.stat-mech2002★ 46 cited
Triangular arbitrage as an interaction among foreign exchange rates
Yukihiro Aiba, Naomichi Hatano, Hideki Takayasu +2
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…