Aiba, Yukihiro; Hatano, Naomichi; Takayasu, Hideki; … - In: Physica A: Statistical Mechanics and its Applications 310 (2002) 3, pp. 467-479
We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing … foreign exchange rates with an interaction. The model includes effects of triangular arbitrage transactions as an interaction …