Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets
- Autoren
- Julia Reynolds, Leopold Sögner, Martin Wagner
- Jahr
- 2021
- Publikationsort
- Central European Journal of Economic Modelling and Econometrics
- Kategorie
- Foundations & Infrastructure
- Zitierstatus
- Verifiziert
- Bereiche
- routingarbitrage/negative cycles
- Anmerkungen
- Real FX/BTC markets show measurable, short-lived deviations from triangular-arbitrage parity
- Relevanz für ƒxyz
- Justifies the three honesty guards (staleness/coherence/haircut): real edges are stale and skewed, so raw cycle profit overstates reality