Periodic Sequences of Arbitrage: A Tale of Four Currencies
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- Rod Cross & Victor Kozyakin & Brian O'Callaghan & Alexei Pokrovskii & Alexey Pokrovskiy, 2012. "Periodic Sequences Of Arbitrage: A Tale Of Four Currencies," Metroeconomica, Wiley Blackwell, vol. 63(2), pages 250-294, May.
- Rod Cross & Victor Kozyakin & Brian O'Callaghan & Alexei Pokrovskii & Alexey Pokrovskiy, 2010. "Periodic Sequences of Arbitrage: A Tale of Four Currencies," Working Papers 1019, University of Strathclyde Business School, Department of Economics.
- Rod Cross & Victor Kozyakin & Brian O'Callaghan & Alexei Pokrovskii & Alexey Pokrovskiy, 2011. "Periodic Sequences of Arbitrage: A Tale of Four Currencies," Papers 1112.5850, arXiv.org.
References listed on IDEAS
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Citations
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Cited by:
- Rod Cross & Victor Kozyakin, 2012.
"Fact and Fiction in FX Arbitrage Processes,"
Working Papers
1211, University of Strathclyde Business School, Department of Economics.
- Rod Cross & Victor Kozyakin, 2014. "Fact and fictions in FX arbitrage processes," Working Papers 1403, University of Strathclyde Business School, Department of Economics.
- Cross, Rod & Kozyakin, Victor, 2012. "Fact And Fiction In FX Arbitrage Processes," SIRE Discussion Papers 2012-86, Scottish Institute for Research in Economics (SIRE).
- Cross, Rod & Kozyakin, Victor, 2014. "Fact And Fictions In FX Arbitrage Processes," SIRE Discussion Papers 2014-003, Scottish Institute for Research in Economics (SIRE).
- repec:edn:sirdps:378 is not listed on IDEAS
- Rod Cross & Victor Kozyakin, 2012. "Double Exponential Instability of Triangular Arbitrage Systems," Papers 1204.3422, arXiv.org, revised Jun 2012.
- repec:ers:journl:v:xx:y:2017:i:2a:p:355-379 is not listed on IDEAS
More about this item
Keywords
Four currencies; Limits to arbitrage; Recurrent sequences; Asynchronous systems;JEL classification:
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- F31 - International Economics - - International Finance - - - Foreign Exchange
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
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