Arbitrage in the foreign exchange market

Akram, Q. F., Rime, D., & Sarno, L. (2008). Arbitrage in the foreign exchange market: Turning on the microscope. Journal of International Economics, 76(2), 237-253.

Type

Journal article

Intellectual base

Primary research

Year

2008

DOI

10.1016/j.jinteco.2008.07.004

Link

https://doi.org/10.1016/j.jinteco.2008.07.004

Cited from

economics_finance

Cited by

1 citation across 1 artifact.

Each citation links to the sentence it supports in the citing article.

Primes

• Arbitrage (Finance)
  • It persists in less-liquid pairs and emerging market currencies—a pattern Akram, Rime, and Sarno (2008) document empirically using high-frequency Reuters data, finding that triangular and one-way arbitrage opportunities arise frequently but disappear within seconds.

    This sourceHigh-frequency Reuters tick-data study of FX arbitrage (covered interest parity, triangular, and one-way arbitrage): opportunities arise frequently across major pairs but typically last only seconds, confirming that competitive arbitrage rapidly enforces no-arbitrage relations.

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