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High frequency arbitrage in foreign exchange markets

Aarheim, Magnus; Johnsen, Nicolai
Master thesis
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URI
http://hdl.handle.net/11250/95080
Date
2014-02-11
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  • Master of Science [1545]
Abstract
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.
Description
Masteroppgave(MSc) in Master of Business, Handelshøyskolen BI, 2014

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