Predictors of triangular arbitrage opportunities: Interdependence and order book indicators
نویسندگان
چکیده
Recent research suggests that high-frequency triangular arbitrage opportunities arise in electronic foreign exchange (FX) markets. The deviations from the triangular parity condition are typically the result of asynchronous exchange rate adjustments to new market-wide information or country-specific shocks. This paper conducts an empirical investigation of the mechanisms and underpinnings of triangular arbitrage opportunities in the EUR/USD, EUR/JPY and USD/JPY markets, in 2010 and 2011. Two sets of variables are found statistically significant in explaining and forecasting triangular arbitrage opportunities: 1) average variance and average correlation among the exchange rates, and 2) limit order book indicators.
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تاریخ انتشار 2014