A microscopic model of triangular arbitrage
Physics and Society
2009-05-11 v1 Trading and Market Microstructure
Abstract
We introduce a microscopic model which describes the dynamics of each dealer in multiple foreign exchange markets, taking account of the triangular arbitrage transaction. The model reproduces the interaction among the markets well. We explore the relation between the parameters of the present microscopic model and the spring constant of a macroscopic model that we proposed previously.
Cite
@article{arxiv.physics/0602171,
title = {A microscopic model of triangular arbitrage},
author = {Y. Aiba and N. Hatano},
journal= {arXiv preprint arXiv:physics/0602171},
year = {2009}
}
Comments
17 pages, 14 figures