為替市場における裁定機会の解析II
2014 年 2014 巻 FIN-013 号 p. 02-
詳細
2014 年 2014 巻 FIN-013 号 p. 02-
We introduce two kinds of arbitrage opportunities in the foreign exchange market by using high-frequency data over 12 years; one is negative spread arbitrages and the other is triangle arbitrages. We already showed the relationship between the occurrence of the arbitrage and volatility, the number of deals and the number of computer traders[1]. In this paper, we take into account an execution risk in our arbitrage analysis. We found the expected profit of the arbitrage declines year by year. We assume this result caused by increasing of the algorithm traders which can detect arbitrage opportunities much faster than human traders.
