Fact and fictions in FX arbitrage processes

6th International Workshop on Multi-Rate Processes and Hysteresis

Cross, Rod^1 ; Kozyakin, Victor^2

Department of Economics, University of Strathclyde, Sir William Duncan Building, 180 Rottenrow, Glasgow

G4 0GE, United Kingdom^1

Institute of Information Transmission Problems, Russian Academy of Sciences, Bolshoi Karetny lane 19, Moscow

127994 GSP-4, Russia^2

关键词: Arbitrage opportunity;    Combinatorial analysis;    Foreign exchange;    Hedge Funds;    Paper surveys;    Self-extinguishing;   

Others  :  https://iopscience.iop.org/article/10.1088/1742-6596/585/1/012015/pdf
DOI  :  10.1088/1742-6596/585/1/012015

来源: IOP

【 摘 要 】

The efficient markets hypothesis implies that arbitrage opportunities in markets such as those for foreign exchange (FX) would be, at most, short-lived. The present paper surveys the fragmented nature of FX markets, revealing that information in these markets is also likely to be fragmented. The "quant" workforce in the hedge fund featured in The Fear Index novel by Robert Harris would have little or no reason for their existence in an EMH world. The four currency combinatorial analysis of arbitrage sequences contained in [1] is then considered. Their results suggest that arbitrage processes, rather than being self-extinguishing, tend to be periodic in nature. This helps explain the fact that arbitrage dealing tends to be endemic in FX markets.