Download or read book Foreign Exchange Rate Arbitrage Using the Matrix Method written by and published by . This book was released on 2009 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article focuses on finding arbitrage opportunities in the international foreign exchange market. The traditional methods of distinguishing arbitrage opportunity have low efficiency, and difficulties arise when we face multiple currencies. This poses a need for an efficient method of searching for a multiple-currency arbitrage path. Ma (2004) has developed a matrix method that efficiently searches for an arbitrage path in an N-currency market. Ma also derives a simple sufficient condition that will guarantee the presence of arbitrage opportunities. Ma's work is based on the assumption that one can buy or sell each currency at zero bid-ask spread. However, the bid-ask spread represents an important component of the transaction costs, and therefore should be incorporated into the search for arbitrage path. In this article, the author modifies Ma's matrix method to accommodate the case where the bid-ask spreads are nonzero. We then illustrate the use of the modified method, using a 65-day series of exchange rate quotes. We also observe that the sufficient condition derived in Ma's work still holds even for the case of nonzero bid-ask spread.

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 Tropical Algebra Graph Theory Foreign Exchange Arbitrage written by and published by . This book was released on 2017 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We answer the question, given n currencies and k trades, how can a maximal arbitrage opportunity be found and what is its value? To answer this question, we use techniques from graph theory and employ a max-plus algebra (commonly known as tropical algebra). Further, we show how the tropical eigenvalue of a foreign exchange rate matrix relates to arbitrage among the currencies and can be found algorithmically. We finish by employing time series techniques to study the stability of maximal, high-currency arbitrage opportunities.

Download or read book The Spread of Financial Sophistication Through Emerging Markets Worldwide written by John W. Kensinger and published by Emerald Group Publishing. This book was released on 2016-07-26 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research in Finance Vol 32 reflects the current and primary issues in financial markets and to applying financial modeling in emerging markets.

Download or read book Triangular Arbitrage in the Foreign Exchange Market written by Mario Mavrides and published by Praeger. This book was released on 1992-09-17 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: The major purpose of the book is to illustrate that triangular arbitrage in the foreign exchange market can be profitable. This idea is reinforced by the recent evolution of an independent cross market, and the remarkable developments in telecommunications.

Download or read book The Foreign Exchange Matrix written by Barbara Rockefeller and published by Harriman House Pub. This book was released on 2013-02-11 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The Foreign Exchange Matrix" is the go-to book for sophisticated financial market professionals seeking a deeper understanding of the world of foreign exchange--written by experienced insiders. The book aims to cut through the clutter and present a concise and definitive picture of the market that is not only true, but also useful.

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 Introduction to Tropical Geometry written by Diane Maclagan and published by American Mathematical Society. This book was released on 2021-12-13 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tropical geometry is a combinatorial shadow of algebraic geometry, offering new polyhedral tools to compute invariants of algebraic varieties. It is based on tropical algebra, where the sum of two numbers is their minimum and the product is their sum. This turns polynomials into piecewise-linear functions, and their zero sets into polyhedral complexes. These tropical varieties retain a surprising amount of information about their classical counterparts. Tropical geometry is a young subject that has undergone a rapid development since the beginning of the 21st century. While establishing itself as an area in its own right, deep connections have been made to many branches of pure and applied mathematics. This book offers a self-contained introduction to tropical geometry, suitable as a course text for beginning graduate students. Proofs are provided for the main results, such as the Fundamental Theorem and the Structure Theorem. Numerous examples and explicit computations illustrate the main concepts. Each of the six chapters concludes with problems that will help the readers to practice their tropical skills, and to gain access to the research literature. This wonderful book will appeal to students and researchers of all stripes: it begins at an undergraduate level and ends with deep connections to toric varieties, compactifications, and degenerations. In between, the authors provide the first complete proofs in book form of many fundamental results in the subject. The pages are sprinkled with illuminating examples, applications, and exercises, and the writing is lucid and meticulous throughout. It is that rare kind of book which will be used equally as an introductory text by students and as a reference for experts. —Matt Baker, Georgia Institute of Technology Tropical geometry is an exciting new field, which requires tools from various parts of mathematics and has connections with many areas. A short definition is given by Maclagan and Sturmfels: “Tropical geometry is a marriage between algebraic and polyhedral geometry”. This wonderful book is a pleasant and rewarding journey through different landscapes, inviting the readers from a day at a beach to the hills of modern algebraic geometry. The authors present building blocks, examples and exercises as well as recent results in tropical geometry, with ingredients from algebra, combinatorics, symbolic computation, polyhedral geometry and algebraic geometry. The volume will appeal both to beginning graduate students willing to enter the field and to researchers, including experts. —Alicia Dickenstein, University of Buenos Aires, Argentina

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 Arbitrage Hedging and Speculation written by Ephraim Clark and published by Bloomsbury Publishing USA. This book was released on 2004-04-30 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explains arbitrage, hedging, and speculation from the standpoint of a participant in the foreign exchange market—whether an individual trader or an institutional trader—who possesses analytical skill, economically sound judgment, and who has access to market data. In the foreign exchange market, arbitrage involves the simultaneous purchase and sale of a currency in different markets; the profit comes from the difference in the buying and selling prices. Hedging and speculation are opposing strategies for dealing with risk; hedging is a cover, and speculation is an assumption of risk. Authors also discuss futures, swaps, forward contracts, and other strategies. For financial scholars, students, analysts, and currency traders.

Download or read book Interest Rate Arbitrage in Currency Baskets written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1999-01-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the conditional variance of expected profits from the interest rate arbitrage portfolio—appropriately measured when the basket weights are time-varying? Answers to these questions are provided within a time-varying parameter modeling framework estimated through the Kalman filter. An empirical application is devoted to the experience of the Thai baht currency basket (January 1992–February 1997).

Download or read book Foreign Exchange Exposure Management A Portfolio Approach written by L. Soenen and published by Springer. This book was released on 1979-09-06 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Trading Systems and Methods written by Perry J. Kaufman and published by John Wiley & Sons. This book was released on 2013-01-10 with total page 1232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ultimate guide to trading systems, fully revised and updated For nearly thirty years, professional and individual traders have turned to Trading Systems and Methods for detailed information on indicators, programs, algorithms, and systems, and now this fully revised Fifth Edition updates coverage for today's markets. The definitive reference on trading systems, the book explains the tools and techniques of successful trading to help traders develop a program that meets their own unique needs. Presenting an analytical framework for comparing systematic methods and techniques, this new edition offers expanded coverage in nearly all areas, including trends, momentum, arbitrage, integration of fundamental statistics, and risk management. Comprehensive and in-depth, the book describes each technique and how it can be used to a trader's advantage, and shows similarities and variations that may serve as valuable alternatives. The book also walks readers through basic mathematical and statistical concepts of trading system design and methodology, such as how much data to use, how to create an index, risk measurements, and more. Packed with examples, this thoroughly revised and updated Fifth Edition covers more systems, more methods, and more risk analysis techniques than ever before. The ultimate guide to trading system design and methods, newly revised Includes expanded coverage of trading techniques, arbitrage, statistical tools, and risk management models Written by acclaimed expert Perry J. Kaufman Features spreadsheets and TradeStation programs for a more extensive and interactive learning experience Provides readers with access to a companion website loaded with supplemental materials Written by a global leader in the trading field, Trading Systems and Methods, Fifth Edition is the essential reference to trading system design and methods updated for a post-crisis trading environment.

Download or read book An Information Approach to International Currencies written by Richard K. Lyons and published by . This book was released on 2005 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper addresses currency competition from an information perspective. Transactions in traditional models do not convey information, so transaction costs -- the driver of competition outcomes -- are driven by market size. In our model transactions do convey information (consistent with recent empirical findings). Several important departures arise. First, adding the information dimension resolves the traditional indeterminacy of currency trade patterns (by mitigating the concentrating force of market-size economies). Second, whether transactions are executed directly or through a vehicle actually affects prices (because these trading methods do not in general reveal the same information). Third, our model provides a new rationale for why some currency pairs never trade directly (information is not sufficiently symmetric to support trading). Fourth, our model formalizes the arbitrage process and shows that arbitrage transaction quantities and price levels are jointly determined. Empirically, the paper provides a first integrated analysis of transactions in a triangle of markets: ¥/$, $/Euro, and ¥/Euro. Data for the full triangle permits comparison of direct, indirect and arbitrage transactions, for each pair. The information model predicts that transactions should affect prices across markets (e.g., flow in the ¥/$ market should convey information relevant to $/Euro and ¥/Euro prices), which is borne out.

Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""

Download or read book Covered Interest Parity Deviations Macrofinancial Determinants written by Mr.Eugenio M Cerutti and published by International Monetary Fund. This book was released on 2019-01-16 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).

Download or read book Covered Interest Arbitrage Under the Linked Exchange Rate Does it Exist written by Daniel Po-ming Chan and published by . This book was released on 1991 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: