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PERIODIC SEQUENCES OF ARBITRAGE: A TALE OF FOUR CURRENCIES

机译：套利的周期性序列：四个货币的故事

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摘要

This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage operations when four currencies are present may appear periodic in nature, and not involve smooth convergence to a 'balanced' ensemble of exchange rates in which the law of one price holds. The goal of this article is to understand some interesting features of sequences of arbitrage operations, features which might well be relevant in other contexts in finance and economics.
机译：本文研究了涉及四种货币和四个外汇交易者-套利者的套利链。与三币种情况相反，我们发现存在四种货币时的套利操作本质上可能是周期性的，而不涉及平稳地趋同于一价定律成立的“平衡”汇率体系。本文的目的是了解套利操作序列的一些有趣特征，这些特征在金融和经济学的其他情况下可能很相关。

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  • 来源
    《Metroeconomica》 |2012年第2期|p.250-294|共45页
  • 作者

    Rod Cross; Victor Kozyakin; Brian OCallaghan; Alexey Pokrovskiy; Alexei Pokrovskii;

  • 作者单位

    Department of Economics University of Strathclyde Sir William Duncan Building130 Rottenrow Glasgow G4 OGE Scotland;

    Institute for Information Transmission Problems Russian Academy of Sciences Bolshoj Karetny lane 19 Moscow 127994 GSP-4 Russia;

    Department of Applied Mathematics University College Cork Cork Ireland;

    London School of Economics and Political Science Houghton Street London WC2A 2AE UK;

    Department of Applied Mathematics University College Cork Cork Ireland;

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