| Presentation | 2002/3/8 Triangular Arbitrage Chances Observed in Short-Term Foreign Exchange Fluctuation Data Mieko TANAKA-YAMAWAKI, Shinya KOMAKI, |
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| PDF Download Page | PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | Price fluctuations in the financial markets such as foreign exchange rates or stock p rices are assumed to be a result of perfectly fair competitions and no arbitrage chance exists under the normal conditions because such a chance, if it exists, would be immediately used by shrewd investors. This is called as the "Efficient Market Hypothesis" and is taken as a basic assumption of the financial engineering to assume that the price fluctuation is essentially the random walk. However, there are many occasions to definitely make profits by exchanging three or more currencies in a very short time and it is expected that a considerable arbitrage chances can be picked up if we neglect the transaction fee. We report in this paper a result of computer-assisted calculations to see how much arbitrage chance existed in the standard tick data (HFDF'93) among three currencies of Japanese yen, U.S. Dollar, and German Mark for one year from January 1992 to December 1993. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Arbitrage Chance / Triangular Arbitrage / Efficient Market Hypothesis / Foreign Exchange / Tick Data / HFDF'93 |
| Paper # | NLP2001-113 |
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| Conference Information | |
| Committee | NLP |
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| Conference Date | 2002/3/8(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
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| Vice Chair | |
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| Paper Information | |
| Registration To | Nonlinear Problems (NLP) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Triangular Arbitrage Chances Observed in Short-Term Foreign Exchange Fluctuation Data |
| Sub Title (in English) | |
| Keyword(1) | Arbitrage Chance |
| Keyword(2) | Triangular Arbitrage |
| Keyword(3) | Efficient Market Hypothesis |
| Keyword(4) | Foreign Exchange |
| Keyword(5) | Tick Data |
| Keyword(6) | HFDF'93 |
| 1st Author's Name | Mieko TANAKA-YAMAWAKI |
| 1st Author's Affiliation | Faculty of Engineering, Miyazaki University() |
| 2nd Author's Name | Shinya KOMAKI |
| 2nd Author's Affiliation | Faculty of Engineering, Miyazaki University |
| Date | 2002/3/8 |
| Paper # | NLP2001-113 |
| Volume (vol) | vol.101 |
| Number (no) | 723 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |