Cookies?
Library Header Image
LSE Research Online LSE Library Services

Periodic sequences of arbitrage: a tale of four currencies

Cross, Rod, Kozyakin, Victor, O'Callaghan, Brian, Pokrovskii, Alexei and Pokrovskiy, Alexey (2012) Periodic sequences of arbitrage: a tale of four currencies. Metroeconomica, 63 (2). pp. 250-294. ISSN 0026-1386

Full text not available from this repository.

Abstract

This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage operations when four currencies are present may appear periodic in nature, and not involve smooth convergence to a 'balanced' ensemble of exchange rates in which the law of one price holds. The goal of this article is to understand some interesting features of sequences of arbitrage operations, features which might well be relevant in other contexts in finance and economics

Item Type: Article
Official URL: http://onlinelibrary.wiley.com/journal/10.1111/(IS...
Library of Congress subject classification: H Social Sciences > HG Finance
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 03 May 2012 10:40
URL: http://eprints.lse.ac.uk/43192/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only