We propose a novel graph-theoretic method for the detection of circular arbitrage in foreign exchange (FX) markets and discuss and demonstrate runtime improvements of this algorithm over the brute force approach. An application on empirical currency bid/ask price data validates this technique as...

In this paper, we propose a theoretical and computational framework for the detection and identification of (triangular) arbitrage opportunities among spot currency exchange rates in a foreign exchange market. We obtain sufficient conditions for excluding the triangular arbitrage opportunities...