For the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of geographically near countries. We show that there is a time delay of order less than a minute between two currency markets having a strong cross-correlation. The cross-correlation between exchange rates is lower in shorter time scale in any case. As a corollary we notice a kind of contradiction that the direct Yen-Dollar rate significantly differs from the indirect Yen-Dollar rate through Euro in short time scales. This result shows the existence of arbitrage opportunity among currency exchange markets.
@article{arxiv.cond-mat/0303306,
title = {Time-scale dependence of correlations among foreign currencies},
author = {Takayuki Mizuno and Shoko Kurihara and Misako Takayasu and Hideki Takayasu},
journal= {arXiv preprint arXiv:cond-mat/0303306},
year = {2008}
}