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A Network Model For Foreign Exchange Arbitrage, Hedging And Speculation

Author

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  • C. KENNETH JONES

    (Portfolio Selection Systems, 4300 NW 23rd Ave. Suite 125, Gainesville, FL 32606, USA)

Abstract

This paper presents alternative approach to foreign exchange market trading decisions. The model is equally applicable to the arbitrage practices of international banks, to the hedging decisions of multinational corporations, to the investment decisions of currency fund managers and to the uncovered positions of currency speculators. By using a network model to represent these situations complex problems can be modeled and the optimization problem required to maximize profit or eliminate risk can be accurately formulated.

Suggested Citation

  • C. Kenneth Jones, 2001. "A Network Model For Foreign Exchange Arbitrage, Hedging And Speculation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(06), pages 837-852.
    • Handle: RePEc:wsi:ijtafx:v:04:y:2001:i:06:n:s0219024901001279
    DOI: 10.1142/S0219024901001279
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    Cited by:

    1. Bakoush, Mohamed & Gerding, Enrico H. & Wolfe, Simon, 2019. "Margin requirements and systemic liquidity risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 78-95.
    2. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.

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