论文信息 - Triangular arbitrage and negative auto-correlation of foreign exchange rates

Triangular arbitrage and negative auto-correlation of foreign exchange rates

We show, on the basis of our recently introduced stochastic model, that triangular arbitrage makes the auto-correlation function of foreign exchange rates negative in a short time scale.

Naomichi Hatano | Hideki Takayasu | Tokiko Shimizu | Yukihiro Aiba | Kouhei Marumo

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