Trading Foreign Exchange Triplets
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Daniel J. Fenn & Sam D. Howison & Mark Mcdonald & Stacy Williams & Neil F. Johnson, 2009. "The Mirage Of Triangular Arbitrage In The Spot Foreign Exchange Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(08), pages 1105-1123.
- Oomen, Roel, 2017. "Execution in an aggregator," LSE Research Online Documents on Economics 67454, London School of Economics and Political Science, LSE Library.
- Roel Oomen, 2017. "Execution in an aggregator," Quantitative Finance, Taylor & Francis Journals, vol. 17(3), pages 383-404, March.
- Jean-Pierre Fouque & Ronnie Sircar & Thaleia Zariphopoulou, 2017. "Portfolio Optimization And Stochastic Volatility Asymptotics," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 704-745, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Philippe Bergault & Leandro S'anchez-Betancourt, 2024. "A Mean Field Game between Informed Traders and a Broker," Papers 2401.05257, arXiv.org.
- 'Alvaro Cartea & Sebastian Jaimungal & Leandro S'anchez-Betancourt, 2024. "Nash Equilibrium between Brokers and Traders," Papers 2407.10561, arXiv.org, revised Jul 2024.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Alvaro Cartea & Sebastian Jaimungal & Jamie Walton, 2018. "Foreign Exchange Markets with Last Look," Papers 1806.04460, arXiv.org.
- Butz, M. & Oomen, R., 2019. "Internalisation by electronic FX spot dealers," LSE Research Online Documents on Economics 90485, London School of Economics and Political Science, LSE Library.
- Andreas Schrimpf & Vladyslav Sushko, 2019. "FX trade execution: complex and highly fragmented," BIS Quarterly Review, Bank for International Settlements, December.
- Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2020.
"A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage,"
Economic Modelling, Elsevier, vol. 85(C), pages 57-73.
- Nikola Gradojevic & Deniz Erdemlioglu & Ramazan Gençay, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Post-Print hal-02512423, HAL.
- Jean-Pierre Fouque & Ruimeng Hu & Ronnie Sircar, 2021. "Sub- and Super-solution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Market," Papers 2106.11510, arXiv.org, revised Oct 2021.
- Alberto Ciacci & Takumi Sueshige & Hideki Takayasu & Kim Christensen & Misako Takayasu, 2020. "The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-19, June.
- Shican Liu & Yanli Zhou & Benchawan Wiwatanapataphee & Yonghong Wu & Xiangyu Ge, 2018. "The Study of Utility Valuation of Single-Name Credit Derivatives with the Fast-Scale Stochastic Volatility Correction," Sustainability, MDPI, vol. 10(4), pages 1-21, March.
- Dmitry A. Endovitsky & Viacheslav V. Korotkikh & Denis A. Khripushin, 2021. "Equity Risk and Return across Hidden Market Regimes," Risks, MDPI, vol. 9(11), pages 1-21, October.
- Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017.
"International correlation risk,"
Journal of Financial Economics, Elsevier, vol. 126(2), pages 270-299.
- Philippe Mueller & Andreas Stathopoulos & Andrea Vedolin, "undated". "International Correlation Risk," FMG Discussion Papers dp716, Financial Markets Group.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," LSE Research Online Documents on Economics 84140, London School of Economics and Political Science, LSE Library.
- Andreas Stathopoulos & Andrea Vedolin & Philippe Mueller, 2012. "International Correlation Risk," 2012 Meeting Papers 818, Society for Economic Dynamics.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2014. "International correlation risk," LSE Research Online Documents on Economics 60955, London School of Economics and Political Science, LSE Library.
- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2013. "International correlation risk," LSE Research Online Documents on Economics 43087, London School of Economics and Political Science, LSE Library.
- Jean-Pierre Fouque & Sebastian Jaimungal & Yuri F. Saporito, 2021. "Optimal Trading with Signals and Stochastic Price Impact," Papers 2101.10053, arXiv.org, revised Aug 2023.
- Wilfredo L. Maldonado & Juan José Egozcue & Vera Pawlowsky‐Glahn, 2021. "No‐arbitrage matrices of exchange rates: Some characterizations," International Journal of Economic Theory, The International Society for Economic Theory, vol. 17(4), pages 375-389, December.
- Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2017.
"Toxic Arbitrage,"
The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1053-1094.
- Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2014. "Toxic Arbitrage," Working Papers hal-02058262, HAL.
- Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," HEC Research Papers Series 1040, HEC Paris.
- Foucault, Thierry & Tham, Wing Wah & Kozhan, Roman, 2014. "Toxic Arbitrage," CEPR Discussion Papers 9925, C.E.P.R. Discussion Papers.
- Guiyuan Ma & Song-Ping Zhu & Boda Kang, 2020. "A Numerical Solution of Optimal Portfolio Selection Problem with General Utility Functions," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 957-981, March.
- Keshavarz Haddad, Gholamreza & Heidari, Hadi, 2020. "Optimal Portfolio Allocation with Price Limit Constraint," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(2), pages 123-134, April.
- Wang, Hang & Hu, Zhijun, 2020. "Optimal consumption and portfolio decision with stochastic covariance in incomplete markets," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
- Josselin Garnier & Knut Solna, 2018. "Optimal hedging under fast-varying stochastic volatility," Papers 1810.08337, arXiv.org, revised Mar 2020.
- Levon Avanesyan & Ronnie Sircar, 2020. "Power mixture forward performance processes," Papers 2012.10847, arXiv.org.
- Zbigniew Palmowski & {L}ukasz Stettner & Anna Sulima, 2018. "Optimal portfolio selection in an It\^o-Markov additive market," Papers 1806.03496, arXiv.org.
- Alexey Ponomarenko, 2023. "National Currencies in International Settlements: Main Mechanisms," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 35-47, September.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2004.12011. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.