Text

TRIANGULAR ARBITRAGE IN THE FOREIGN EXCHANGE MARKET: INEFFICIENCIES, TECHNOLOGY, AND INVESTMENT OPPORTUNITIES

---

The recent evolution of an independent cross market, combined with the technological advancements in computerized trading marked the beginning of a new era in the Foreign Exchange Market. Triangular arbitrage among currencies, once only a theory, is now common practice for those with access to large amounts of money. This book illustrates how converting from one currency to another, then to another, and back to the original currency can be very profitable. This study provides the first direct and precise test of triangular arbitrage based on actual data. A risk-free profit can be made by taking advantage of price discrepancies of a currency in several different markets. The study begins by reviewing past work on triangular arbitrage and provides a comprehensive review of the Foreign Exchange Market and the procedures of computerized trading. The author then presents the theory of triangular arbitrage, given a group of five major currencies. The last chapters develop methods of testing that are original and based on empiracal information. The author is careful to explain that profits arer dependent on many variables related to market volume, volatility, inefficiency, and unexpected news. The markets that consistently show the largest amounts of inefficiency are the dollar-pound-yen, dollar-mark-yen, and dollar-yen-franc markets. Inefficiencies in triangular arbitrage imply that risk-free profitable opportunities exist. Traders can take advantage of those opportunities by focusing their attention on the markets in which profitable opportunities are available.

---

Availability

10000732

332.4 MAV t

RLC MM (Rak Buku Umum)

Available

Detail Information

Series Title

-

Statement of Responsibility

Marios Mavrides

Call Number

332.4 MAV t

Publisher

Westport, Conn. : Quorum Books., 1992

Collation

xi, 183 p. : ill ; 24cm.

Language

English

ISBN/ISSN

0-89930-718-3

Classification

332.4

Content Type

-

Edition

-

Subject(s)

Buku Umum
Foreign Exchange
Markets

Specific Detail Info

-

Other version/related

File Attachment

Comments

---

You must be logged in to post a comment