[FX마진거래]Fact and Fictions in FX Arbitrage Processes

FX마진거래에 관련해서 재미있는 제목의 논문이 있군요 ㅎㅎ

논문 제목은 Fact and Fictions in FX Arbitrage Processes 입니다.

FX마진 차익거래를 하는 사람의 입장에서 엄청 끌리네요 ㅎㅎ 차익거래를 하지 않아도 관심들은 있으실 것 같습니다.

위 논문의 Abstract 입니다.

Abstract: The efficient markets hypothesis implies that arbitrage opportunities in markets such as
those for foreign exchange (FX) would be, at most, short-lived. The present paper surveys the frag-
mented nature of FX markets, revealing that information in these markets is also likely to be fragment-
ed. The “quant” workforce in the hedge fund featured in The Fear Index novel by Robert Harris would
have little or no reason for their existence in an EMH world. The four currency combinatorial analysis
of arbitrage sequences contained in Cross, Kozyakin, O’Callaghan, Pokrovskii and Pokrovskiy (2012)
is then considered. Their results suggest that arbitrage processes, rather than being self-extinguishing,
tend to be periodic in nature. This helps explain the fact that arbitrage dealing tends to be endemic in
FX markets.

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