A microscopic model of triangular arbitrage

Details A microscopic model of triangular arbitrage A microscopic model of triangular arbitrage

2006-02-24

arxiv.org/abs/physics/0602171v1

Physica A 371 (2006) 572-584

Physics

Physics and Society

17 pages, 14 figures

Scientific paper

10.1016/j.physa.2006.05.046

We introduce a microscopic model which describes the dynamics of each dealer in multiple foreign exchange markets, taking account of the triangular arbitrage transaction. The model reproduces the interaction among the markets well. We explore the relation between the parameters of the present microscopic model and the spring constant of a macroscopic model that we proposed previously.

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