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  • Fact And Fiction In FX Arbitrage Processes 

    Cross, Rod; Kozyakin, Victor (University of StrathclydeRussian Academy of Sciences, 2012)
    The efficient markets hypothesis implies that arbitrage opportunities in markets such as those for foreign exchange (FX) would be, at most, short-lived. The present paper surveys the fragmented nature of FX markets, revealing ...
  • Periodic Sequences of Arbitrage: A Tale of Four Currencies 

    Cross, Rod; Kozyakin, Victor; O’Callaghan, Brian; Pokrovskii, Alexei; Pokrovskiy, Alexey (University of StrathclydeRussian Academy of SciencesUniversity College CorkLondon School of Economics and Political Science, 2010)
    This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we fi nd that arbitrage operations when four currencies are present ...

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