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摘要翻译：
我们利用高频可执行价格研究即期外汇市场中的三角套利。我们发现三角套利机会确实存在，但大部分时间短，规模小。我们发现套利机会的数量和长度在日内存在变化，在流动性较强的时间内，套利机会的数量较多，平均持续时间较短。我们进一步证明，近年来套利机会的数量减少了，这意味着定价效率相应地提高了。通过交易模拟，我们发现一个交易者需要在很长一段时间内从三角套利中获利，从而超过其他市场参与者的套利价格的不可行的很大比例。我们的结果表明，外汇市场是内在自洽的，并提供了市场有效性的有限验证。
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英文标题：
《The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market》
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作者：
Daniel J. Fenn, Sam D. Howison, Mark McDonald, Stacy Williams, Neil F.
Johnson
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最新提交年份：
2008
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find intra-day variations in the number and length of arbitrage opportunities, with larger numbers of opportunities with shorter mean durations occurring during more liquid hours. We demonstrate further that the number of arbitrage opportunities has decreased in recent years, implying a corresponding increase in pricing efficiency. Using trading simulations, we show that a trader would need to beat other market participants to an unfeasibly large proportion of arbitrage prices to profit from triangular arbitrage over a prolonged period of time. Our results suggest that the foreign exchange market is internally self-consistent and provide a limited verification of market efficiency.
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PDF链接：
https://arxiv.org/pdf/0812.0913
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