آربیتراژ مثلثی در بازار ارز

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.

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.

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.