Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets
- Authors
- Julia Reynolds, Leopold Sögner, Martin Wagner
- Year
- 2021
- Venue
- Central European Journal of Economic Modelling and Econometrics
- Category
- Foundations & Infrastructure
- Cite status
- Verified
- Domains
- routingarbitrage/negative cycles
- Notes
- Real FX/BTC markets show measurable, short-lived deviations from triangular-arbitrage parity
- Relevance to ƒxyz
- Justifies the three honesty guards (staleness/coherence/haircut): real edges are stale and skewed, so raw cycle profit overstates reality