• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • Vis innførsel
  •   Hjem
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

High frequency arbitrage in foreign exchange markets

Aarheim, Magnus; Johnsen, Nicolai
Master thesis
Thumbnail
Åpne
Oppgave17.pdf (1.150Mb)
Permanent lenke
http://hdl.handle.net/11250/95080
Utgivelsesdato
2014-02-11
Metadata
Vis full innførsel
Samlinger
  • Master of Science [1116]
Sammendrag
In this thesis we investigate the efficiency of the FX market by searching for

triangular and multi-currency arbitrage opportunities from 1997 to 2007. We show

that both triangular and multi-currency arbitrage opportunities exist in the FX

market. Further, we find evidence of a decreasing trend in relation to the total

number of arbitrage opportunities per year. In most cases we see a decrease of

over 50 % and all the way up to 80 – 90 %. Finally, we use actual unmasked

volume data to investigate the profit potential of these arbitrage opportunities. Our

results show the same negative tendency, i.e. the profit potential has been reduced

sharply in recent years with a decrease of over 50 % for all triangular roundtrips,

and as high as 99 % for multi-currency roundtrips.
Beskrivelse
Masteroppgave(MSc) in Master of Business, Handelshøyskolen BI, 2014

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit