Detecting and identifying arbitrage in the spot foreign exchange market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F20%3A10423209" target="_blank" >RIV/00216208:11320/20:10423209 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=OUJDGflMT_" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=OUJDGflMT_</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/14697688.2019.1639801" target="_blank" >10.1080/14697688.2019.1639801</a>
Alternative languages
Result language
angličtina
Original language name
Detecting and identifying arbitrage in the spot foreign exchange market
Original language description
We propose a theoretical framework for the detection and identification of triangular arbitrage opportunities between currency exchange rates in the spot foreign exchange market. We obtain sufficient conditions for the exclusion of triangular arbitrage opportunities in the setting of non-trivial transaction costs in terms of the currency rates of the market under consideration. Then we propose an efficient computational approach which can detect triangular arbitrage opportunities in real time. Finally, we consider numerical studies that utilize spot currency exchange rate quotes to substantiate and present applications of the theoretical findings as well as to demonstrate the efficiency of the proposed computational arbitrage detection and identification methods.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Quantitative Finance
ISSN
1469-7688
e-ISSN
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Volume of the periodical
20
Issue of the periodical within the volume
1
Country of publishing house
GB - UNITED KINGDOM
Number of pages
14
Pages from-to
119-132
UT code for WoS article
000478212800001
EID of the result in the Scopus database
2-s2.0-85074835229