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The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets

Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash crashes. Although a deep understanding of cross-currency correlations would be clearly bene...

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Detalles Bibliográficos
Autores principales: Ciacci, Alberto, Sueshige, Takumi, Takayasu, Hideki, Christensen, Kim, Takayasu, Misako
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2020
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7313750/
https://www.ncbi.nlm.nih.gov/pubmed/32579583
http://dx.doi.org/10.1371/journal.pone.0234709