Triangular arbitrage as an interaction among foreign exchange rates (2002)
Aiba, Yukihiro, Hatano, Naomichi, Takayasu, Hideki, Marumo, Kouhei, Shimizu, Tokiko
We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the...