Download or read book Empirical Evidence of Arbitrage Opportunities in Foreign Currency Options written by Stephanie Schmitt-Grohe and published by . This book was released on 1989 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Detecting Arbitrage in the Foreign Exchange Market written by Zhenyu Cui and published by . This book was released on 2018 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we propose a theoretical and computational framework for the detection and identification of (triangular) arbitrage opportunities among spot currency exchange rates in a foreign exchange market. We obtain sufficient conditions for excluding the triangular arbitrage opportunities in a market with or without market frictions, i.e. transaction costs. Then we propose a very efficient computational approach not only to detect triangular arbitrage opportunities in real time but also to identify the combinations of currencies that lead to the arbitrage opportunity from market data. In numerical studies, we utilize empirical data of foreign currency exchange rates to substantiate our theoretical findings and demonstrate the efficiency of the proposed computational approach.
Download or read book Arbitrage written by Rudi Weisweiller and published by . This book was released on 1986 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Study of Foreign Currency Options written by Mitchell D. Steenrod and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Valuation of Foreign Currency Options written by Shmuel Hauser and published by . This book was released on 1986 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets written by Takatoshi Ito and published by . This book was released on 2020 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: With the high-frequency data of firm quotes in the transaction platform of foreign exchanges, arbitrage profit opportunities--in the forms of a negative bid-ask spread of a currency pair and triangular transactions involving three currency pairs--can be detected to emerge and disappear in the matter of seconds. The frequency and duration of such arbitrage opportunities have declined over time, most likely due to the emergence of algorithmic trading. When a human trader detects such an arbitrage opportunity and places orders for multiple transactions--two in negative spreads and three in triangular arbitrage--there is no guarantee all of those orders are fulfilled in a fraction of one second. Thus, the arbitrageur has to consider execution risk, when he/she/it detects the emergence of such an opportunity. The novelty of this paper is to show that those arbitrage opportunities were exploitable and executable, before the mid-2000s, even considering the transactions costs and execution risk. After many algorithmic computers were allowed to be connected directly to the EBS transaction platform in the mid-2000s, the frequency of free lunch cases has declined and probabilities of successful executions of all legs for arbitrage declined. We calculate the change in the expected profit of an attempt to execute necessary transactions to reap benefits from arbitrage opportunity
Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Download or read book Valuation of Foreign Currency Options written by Kah Hwa Ng and published by . This book was released on 1988 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Random Character of Stock Market Prices written by Paul H. Cootner and published by MIT Press (MA). This book was released on 1967 with total page 546 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Arbitrage Tests and Empirical Tests of Options on Currency Futures Contracts written by Mano Vikrant Singh and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Identifying Foreign Exchange Arbitrage Opportunities through Matrix Approach written by Ming Ma and published by . This book was released on 2009 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since Chacholiades (1971) determines the necessary condition and sufficient condition for the establishment of consistent exchange rates, Moosa (2002) shows that the effect of triangular arbitrage in the forward market is similar to the combined effect of triangular arbitrage in the spot market and covered interest arbitrage. Akram, Rime and Sarno (2007) provide real-time evidence on the frequency, size and duration of arbitrage opportunities and deviations opportunities and deviations from the law of one price in the foreign exchange market. Here an N*N matrix approach is employed to identify foreign exchange arbitrage opportunities. Foreign exchange quotes are re-arranged as matrix, the eigenvalue amp;λmax is an indicator for arbitrage opportunities, and the correspondent eigenvector facilitates seeking of arbitrage path, much easier and faster than enumeration method. Due to the difficulty of obtaining real-time data, simulation data are used to test the model.
Download or read book Empirical Tests of the Philadelphia Stock Exchange Foreign Currency Options Market written by James N. Bodurtha and published by . This book was released on 1984 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Arbitrage Opportunities Between the PHLX Foreign Exchange Options and the Forward Currency Markets written by Ali Z. Pamir and published by . This book was released on 1986 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Free Lunch Arbitrage Opportunities in the Foreign Exchange Markets written by Takatoshi Itō and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the "firm" quotes obtained from the tick-by-tick EBS (electronic broking system that is a major trading platform for foreign exchanges) data, it is found that risk-free arbitrage opportunities-free lunch-do occur in the foreign exchange markets, but it typically last only a few seconds. "Free lunch" is in the form of (a) negative spreads in a currency pair and (b) triangular arbitrage relationship involving three currency pairs. The latter occur much more often than the former. Such arbitrage opportunities tend to occur when the markets are active and volatile. Over the 12-year, tick-data samples, the number of free lunch opportunities has dramatically declined and the probability of the opportunities disappearing within one second has steadily increased. The size of expected profits is higher than transaction costs; trades that simultaneously take place on both sides of ask and bid (or three currency trades in case of triangular arbitrage) occur more often when free lunch appeared one second earlier than otherwise, suggesting that free lunch opportunities are actively taken. The probability of its disappearance within one second was less than 50% in 1999, but increased to about 90% by 2009. Less frequent occurrence and quicker disappearance in recent years are attributable to changes in trading microstructure: an introduction and proliferation of the Primary Customer system (weaker banks can use stronger banks' credit lines) and of direct connection of traders' programmed computers to the EBS computer.
Download or read book Index Options futures Arbitrage written by Joseph K. W. Fung and published by . This book was released on 2000 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Foreign Currency Options written by Thomas Khong Fock Phung and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A New Wavelet based Ultra High Frequency Analysis of Triangular Currency Arbitrage written by Nikola Gradojevic and published by . This book was released on 2019 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a new framework to characterize the dynamics of triangular (three-point) arbitrage in electronic foreign exchange markets. To examine the properties of arbitrage, we propose a wavelet-based regression approach that is robust to estimation errors, measurement bias and persistence. Relying on this wavelet-based (denoising) inference, we consider various liquidity and market risk indicators to predict arbitrage in a unique ultra-high-frequency exchange rate data set. We find strong empirical evidence that limit order book, realized volatility and cross-correlations help forecast triangular arbitrage profits. The estimates are statistically significant and relevant for investors such that on average 80-100 arbitrage opportunities exist with a short duration (100-500 milliseconds) on a daily basis. Our analysis also reveals that triangular arbitrage opportunities are counter-cyclical at ultra-high-frequency levels: arbitrage returns tend to increase (decrease) in periods when volatility risk and correlations are relatively low (high). We show that liquidity-driven microstructure measures, however, appear to be more powerful in exploiting arbitrage profits when compared to market-driven factors.
