53 citations · 99 across the 2 of their papers we have counts for
2 papers
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…
cond-mat2001★ 53 cited
Predictability of Currency Market Exchange
Toru Ohira, Naoya Sazuka, Kouhei Marumo +3
We analyze tick data of yen-dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high…