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.
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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.
- 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.
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