دانلود مقاله ISI انگلیسی شماره 14972
عنوان فارسی مقاله

آربیتراژ مثلثی در بازار ارز

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
14972 2004 4 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Triangular arbitrage in the foreign exchange market
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physica A: Statistical Mechanics and its Applications, Volume 344, Issues 1–2, 1 December 2004, Pages 174–177

کلمات کلیدی
فرآیند تصادفی - آربیتراژ مثلثی - بازارهای مالی - ارز خارجی
پیش نمایش مقاله
پیش نمایش مقاله آربیتراژ مثلثی در بازار ارز

چکیده انگلیسی

We first review our previous work, showing what is the triangular arbitrage transaction and how to quantify the triangular arbitrage opportunity. Next we explain that the correlation of the foreign exchange rates can appear without actual triangular arbitrage transaction.

مقدمه انگلیسی

Many analyses of the foreign exchange market have been done in the field of econophysics in recent years [1], [2], [3], [4], [5], [6], [7] and [8]. Most studies investigate fluctuations of one exchange rate. In fact, the foreign exchange market consists of various currencies and the exchange rates are obviously correlated to each other. We suggested [6], [7] and [8] that the triangular arbitrage causes an interaction among foreign exchange rates. We also showed [6], [7] and [8] that the triangular arbitrage makes the auto-correlation negative in a short time scale. In the present paper, we claim that the foreign exchange rates tend to keep a certain relation even if the triangular arbitrage transaction is not actually carried out in the market. In Section 2, we give a brief review of our previous work on the triangular arbitrage. Next, in Section 3, we show that the correlation among multiple exchange rates can occur even if the triangular arbitrage transaction is not carried out.

نتیجه گیری انگلیسی

We first reviewed what is the triangular arbitrage transaction and how to quantify the triangular arbitrage opportunity. Next, we explain that the correlation of the foreign exchange rates can appear without actual triangular arbitrage transactions.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.