PERIODIC SEQUENCES OF ARBITRAGE: A TALE OF FOUR CURRENCIES

DOI10.1111/j.1467-999X.2011.04140.xzbMath1242.91152arXiv1112.5850MaRDI QIDQ2895984

Victor S. Kozyakin, Alexey Pokrovskiy, Alexei V. Pokrovskii, Rod Cross, Brian O'Callaghan

Publication date: 13 July 2012

Published in: Metroeconomica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.5850

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91B74: Economic models of real-world systems (e.g., electricity markets, etc.)

91G99: Actuarial science and mathematical finance

Uses Software

• Concorde