FENN, DANIEL J.; HOWISON, SAM D.; MCDONALD, MARK; … - In: International Journal of Theoretical and Applied … 12 (2009) 08, pp. 1105-1123
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We … show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find … triangular arbitrage over a prolonged period of time. Our results suggest that the foreign exchange market is internally self …