即期外汇市场的三角套利幻象
The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market
摘要：
本文利用高频可执行价格研究了即期外汇市场中的三角套利行为。我们发现，三角套利机会确实存在，但大多数具有短的持续时间和小幅度。我们发现套利机会的数量和长度在日内变化，在流动性更强的时间段内出现了大量平均持续时间较短的机会。我们进一步证明，近年来套利机会的数量有所减少，这意味着定价效率相应提高。使用交易模拟，我们表明，交易者将需要击败其他市场参与者的套利价格的不切实际的大比例，在很长一段时间内从三角套利获利。我们的研究结果表明，外汇市场是内部自洽的，并提供了一个有限的验证市场有效性。
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
