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Double exponential instability of triangular arbitrage systems
1. | Department of Economics, University of Strathclyde, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE, United Kingdom |
2. | Institute for Information Transmission Problems, Russian Academy of Sciences, Bolshoj Karetny lane 19, Moscow 127994 GSP-4 |
References:
[1] |
Q. F. Akram, D. Rime and L. Sarno, Arbitrage in the foreign exchange market: Turning on the microscope, Journal of International Economics, 76 (2008), 237-253, http://www.sciencedirect.com/science/article/pii/S0022199608000706. |
[2] |
E. A. Asarin, V. S. Kozyakin, M. A. Krasnosel$'$skiĭ et al., "Analiz Ustoichivosti Rassinkhronizovannykh Diskretnykh Sistem," Nauka, Moscow, 1992, http://eqworld.ipmnet.ru/ru/library/books/AsarinKozyakinKrasnoselskijKuznecov1992ru.pdf, in Russian. |
[3] |
BIS, "Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in 2010 - Final results," Bank for International Settlements, Basel, Switzerland, 2010, http://www.bis.org/publ/rpfxf10t.pdf. |
[4] |
BIS, "High-Frequency Trading in the Foreign Exchange Market: New Report from the Markets Committee," Bank for International Settlements, Basel, Switzerland, 2011, http://www.bis.org/publ/mktc05.pdf. |
[5] |
BIS, "BIS Effective Exchange Rate Indices," Bank for International Settlements, Basel, Switzerland, 2012, http://www.bis.org/statistics/eer/index.htm. |
[6] |
G. Cassel, The present situation of the foreign exchanges. I, Economic Journal, 26 (1916), 62-65. |
[7] |
A. A. Cournot, "Researches into the Mathematical Principles of the Theory of Wealth," Macmillan, New York, 1929, translated in 1897 by N. T. Bacon, first published in 1838. |
[8] |
V. Covrig and M. Melvin, Asymmetric information and price discovery in the FX market: Does Tokyo know more about the yen?, Journal of Empirical Finance, 9 (2002), 271-285, http://ideas.repec.org/a/eee/empfin/v9y2002i3p271-285.html. |
[9] |
R. Cross, V. Kozyakin, B. O'Callaghan et al., Periodic sequences of arbitrage: A tale of four currencies, Metroeconomica, 63 (2012), 250-294, arXiv:1112.5850.
doi: 10.1111/j.1467-999X.2011.04140.x. |
[10] |
C. D'Souza, Price discovery across geographic locations in the foreign exchange market, Bank of Canada Review, Spring 2008 (2008), 19-27, http://ideas.repec.org/a/bca/bcarev/v2008y2008ispring08p19-27.html. |
[11] |
P. H. Dybvig and S. A. Ross, Arbitrage, in "The New Palgrave Dictionary of Economics" (eds. S. N. Durlauf and L. E. Blume), Palgrave Macmillan, Basingstoke, 2008. |
[12] |
E. F. Fama, Efficient capital markets: A review of theory and empirical work, Journal of Finance, 25 (1970), 383-417, http://www.jstor.org/discover/10.2307/2325486?uid=2129&uid=2&uid=70&uid=4&sid=47699016684017, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N. Y. December, 28-30, (1969) (May, 1970). |
[13] |
S. J. Grossman and J. E. Stiglitz, Information and competitive price systems, American Economic Review, 66 (1976), 246-253, http://e-m-h.org/GrSt76.pdf. |
[14] |
IMF, "SDR Valuation,'' International Monetary Fund, 2012, http://www.imf.org/external/np/fin/data/rms_sdrv.aspx. |
[15] |
R. Jungers, "The Joint Spectral Radius," vol. 385 of Lecture Notes in Control and Information Sciences, Springer-Verlag, Berlin, 2009, theory and applications.
doi: 10.1007/978-3-540-95980-9. |
[16] |
J. M. Keynes, "A Tract on Monetary Reform,'' Macmilan, London UK, 1923. |
[17] |
M. Klau and S. S. Fung, The new BIS effective exchange rate indices, Bank for International Settlements Quarterly Review, 51-65, http://www.bis.org/publ/qtrpdf/r_qt0603e.pdf. |
[18] |
V. Kozyakin, B. O'Callaghan and A. Pokrovskii, Sequences of arbitrages, ArXiv.org e-Print archive, arXiv:1004.0561. |
[19] |
B. R. Marshall, S. Treepongkaruna and M. Young, Exploitable arbitrage opportunities exist in the foreign exchange market, Discussion Paper, 10 September, Massey University, Palmerston North, New Zealand, 2007, http://wwwdocs.fce.unsw.edu.au/banking/seminar/2007/exploitablearbitrage_Marshall_Sept13.pdf. |
[20] |
S. A. Ross, A simple approach to the valuation of risky streams, Journal of Business, 51 (1978), 453-475. |
[21] |
P. Samuelson, Proof that properly anticipated prices fluctuate randomly, Industrial Management Review, 6 (1965), 41-49, http://stevereads.com/papers_to_read/proof_that_properly_anticipated_prices_fluctuate_randomly.pdf. |
[22] |
Z. Xiaochuan, Reform the international monetary system, Bank for International Settlements Quarterly Review, 4 (2009), 1-3, http://www.bis.org/review/r090402c.pdf. |
show all references
References:
[1] |
Q. F. Akram, D. Rime and L. Sarno, Arbitrage in the foreign exchange market: Turning on the microscope, Journal of International Economics, 76 (2008), 237-253, http://www.sciencedirect.com/science/article/pii/S0022199608000706. |
[2] |
E. A. Asarin, V. S. Kozyakin, M. A. Krasnosel$'$skiĭ et al., "Analiz Ustoichivosti Rassinkhronizovannykh Diskretnykh Sistem," Nauka, Moscow, 1992, http://eqworld.ipmnet.ru/ru/library/books/AsarinKozyakinKrasnoselskijKuznecov1992ru.pdf, in Russian. |
[3] |
BIS, "Triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity in 2010 - Final results," Bank for International Settlements, Basel, Switzerland, 2010, http://www.bis.org/publ/rpfxf10t.pdf. |
[4] |
BIS, "High-Frequency Trading in the Foreign Exchange Market: New Report from the Markets Committee," Bank for International Settlements, Basel, Switzerland, 2011, http://www.bis.org/publ/mktc05.pdf. |
[5] |
BIS, "BIS Effective Exchange Rate Indices," Bank for International Settlements, Basel, Switzerland, 2012, http://www.bis.org/statistics/eer/index.htm. |
[6] |
G. Cassel, The present situation of the foreign exchanges. I, Economic Journal, 26 (1916), 62-65. |
[7] |
A. A. Cournot, "Researches into the Mathematical Principles of the Theory of Wealth," Macmillan, New York, 1929, translated in 1897 by N. T. Bacon, first published in 1838. |
[8] |
V. Covrig and M. Melvin, Asymmetric information and price discovery in the FX market: Does Tokyo know more about the yen?, Journal of Empirical Finance, 9 (2002), 271-285, http://ideas.repec.org/a/eee/empfin/v9y2002i3p271-285.html. |
[9] |
R. Cross, V. Kozyakin, B. O'Callaghan et al., Periodic sequences of arbitrage: A tale of four currencies, Metroeconomica, 63 (2012), 250-294, arXiv:1112.5850.
doi: 10.1111/j.1467-999X.2011.04140.x. |
[10] |
C. D'Souza, Price discovery across geographic locations in the foreign exchange market, Bank of Canada Review, Spring 2008 (2008), 19-27, http://ideas.repec.org/a/bca/bcarev/v2008y2008ispring08p19-27.html. |
[11] |
P. H. Dybvig and S. A. Ross, Arbitrage, in "The New Palgrave Dictionary of Economics" (eds. S. N. Durlauf and L. E. Blume), Palgrave Macmillan, Basingstoke, 2008. |
[12] |
E. F. Fama, Efficient capital markets: A review of theory and empirical work, Journal of Finance, 25 (1970), 383-417, http://www.jstor.org/discover/10.2307/2325486?uid=2129&uid=2&uid=70&uid=4&sid=47699016684017, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N. Y. December, 28-30, (1969) (May, 1970). |
[13] |
S. J. Grossman and J. E. Stiglitz, Information and competitive price systems, American Economic Review, 66 (1976), 246-253, http://e-m-h.org/GrSt76.pdf. |
[14] |
IMF, "SDR Valuation,'' International Monetary Fund, 2012, http://www.imf.org/external/np/fin/data/rms_sdrv.aspx. |
[15] |
R. Jungers, "The Joint Spectral Radius," vol. 385 of Lecture Notes in Control and Information Sciences, Springer-Verlag, Berlin, 2009, theory and applications.
doi: 10.1007/978-3-540-95980-9. |
[16] |
J. M. Keynes, "A Tract on Monetary Reform,'' Macmilan, London UK, 1923. |
[17] |
M. Klau and S. S. Fung, The new BIS effective exchange rate indices, Bank for International Settlements Quarterly Review, 51-65, http://www.bis.org/publ/qtrpdf/r_qt0603e.pdf. |
[18] |
V. Kozyakin, B. O'Callaghan and A. Pokrovskii, Sequences of arbitrages, ArXiv.org e-Print archive, arXiv:1004.0561. |
[19] |
B. R. Marshall, S. Treepongkaruna and M. Young, Exploitable arbitrage opportunities exist in the foreign exchange market, Discussion Paper, 10 September, Massey University, Palmerston North, New Zealand, 2007, http://wwwdocs.fce.unsw.edu.au/banking/seminar/2007/exploitablearbitrage_Marshall_Sept13.pdf. |
[20] |
S. A. Ross, A simple approach to the valuation of risky streams, Journal of Business, 51 (1978), 453-475. |
[21] |
P. Samuelson, Proof that properly anticipated prices fluctuate randomly, Industrial Management Review, 6 (1965), 41-49, http://stevereads.com/papers_to_read/proof_that_properly_anticipated_prices_fluctuate_randomly.pdf. |
[22] |
Z. Xiaochuan, Reform the international monetary system, Bank for International Settlements Quarterly Review, 4 (2009), 1-3, http://www.bis.org/review/r090402c.pdf. |
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