The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage op...
| Main Authors: | , , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2008
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