8 citations · 10 across the 2 of their papers we have counts for
2 papers
q-fin.GN2012★ 2 cited
Double Exponential Instability of Triangular Arbitrage Systems
Rod Cross, Victor Kozyakin
If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present pape…
q-fin.GN2011★ 8 cited
Periodic Sequences of Arbitrage: A Tale of Four Currencies
Rod Cross, Victor Kozyakin, Brian O'Callaghan +2
This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage o…