Title of article :
Triangular arbitrage and negative auto-correlation of foreign exchange rates
Author/Authors :
Yukihiro Aiba، نويسنده , , Naomichi Hatano، نويسنده , , Hideki Takayasu، نويسنده , , Kouhei Marumo، نويسنده , , Tokiko Shimizu، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2003
Abstract :
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.
Journal title :
Physica A Statistical Mechanics and its Applications
Journal title :
Physica A Statistical Mechanics and its Applications
