SIG-FIN-012-12

第12回研究会

為替市場における裁定機会の解析†

著者†

山田健太（早稲田大学高等研究所）, 伊藤隆敏（東京大学大学院経済学研究科）, 高安秀樹（ソニーCSL） 高安美佐子（東京工業大学大学院総合理工学研究科）

概要†

We introduce analysis of arbitrage opportunities in the foreign exchange market by using high-frequency data. We showed two kinds of arbitrage opportunities, negative spread arbitrages and triangle arbitrages, and we modeled the occurrence of the arbitrage with volatility, the number of deals and the number of computer traders. The market has changed over the last ten years. In particular an emergence of computer traders, which have trading algorithms in computers, is one of the biggest news in nancial markets, and the computer traders can detect triangular arbitrages much faster than human traders. We also modeled the disappearance probability of triangular arbitrages within one second that is the minimum observation interval of our data by using volatility, the number of deals and the number of computer traders.

論文†

SIG-FIN-012-12.pdf