Short lived arbitrage opportunities arise when prices adjust with a lag to new information. They are toxic because they … expose dealers to the risk of trading at stale quotes. Hence, theory implies that more frequent toxic arbitrage opportunities … triangular arbitrage. As predicted, illiquidity is higher on days when the fraction of toxic arbitrage opportunities and …

for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign … pair and (b) triangular arbitrage relationship involving three currency pairs. The latter occur much more often than the … former. Such arbitrage opportunities tend to occur when the markets are active and volatile. Over the 12-year, tick …

) arbitrage opportunities among spot currency exchange rates in a foreign exchange market. We obtain sufficient conditions for … excluding the triangular arbitrage opportunities in a market with or without market frictions, i.e. transaction costs. Then we … propose a very efficient computational approach not only to detect triangular arbitrage opportunities in real time but also to …