Cross, R;
Kozyakin, V;
O'Callaghan, B;
Pokrovskii, A;
Pokrovskiy, A;
(2012)
Periodic sequences of arbitrage: a tale of four currencies.
Metroeconomica
, 63
(2)
pp. 250-294.
10.1111/j.1467-999X.2011.04140.x.
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Abstract
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 operations when four currencies are present may appear periodic in nature, and not involve smooth convergence to a ‘balanced’ ensemble of exchange rates in which the law of one price holds. The goal of this article is to understand some interesting features of sequences of arbitrage operations, features which might well be relevant in other contexts in finance and economics.
| Type: | Article |
|---|---|
| Title: | Periodic sequences of arbitrage: a tale of four currencies |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1111/j.1467-999X.2011.04140.x |
| Publisher version: | https://doi.org/10.1111/j.1467-999X.2011.04140.x |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10112666 |
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