Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets

Autores

Julia Reynolds, Leopold Sögner, Martin Wagner

Año

2021

Publicación

Central European Journal of Economic Modelling and Econometrics

Categoría

Foundations & Infrastructure

Estado de cita

Verificado

Dominios

routingarbitrage/negative cycles

Notas

Real FX/BTC markets show measurable, short-lived deviations from triangular-arbitrage parity

Relevancia para ƒxyz

Justifies the three honesty guards (staleness/coherence/haircut): real edges are stale and skewed, so raw cycle profit overstates reality