A microscopic model of triangular arbitrage

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dc.creatorAiba, Y.
dc.creatorHatano, N.
dc.date2006-02-24
dc.date.accessioned2026-07-07T13:13:13Z
dc.date.available2026-07-07T13:13:13Z
dc.descriptionWe introduce a microscopic model which describes the dynamics of each dealer in multiple foreign exchange markets, taking account of the triangular arbitrage transaction. The model reproduces the interaction among the markets well. We explore the relation between the parameters of the present microscopic model and the spring constant of a macroscopic model that we proposed previously.
dc.description17 pages, 14 figures
dc.identifierhttps://arxiv.org/abs/physics/0602171
dc.identifierhttp://arxiv.org/abs/physics/0602171
dc.identifierPhysica A 371 (2006) 572-584
dc.identifierdoi:10.1016/j.physa.2006.05.046
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/229817
dc.subjectPhysics and Society
dc.subjectTrading and Market Microstructure
dc.titleA microscopic model of triangular arbitrage
dc.typetext

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