Authors: | Reynolds, Julia Sögner, Leopold Wagner, Martin Wied, Dominik |
Title: | Deviations from triangular arbitrage parity in foreign exchange and bitcoin markets |
Language (ISO): | en |
Abstract: | This paper applies new econometric tools to monitor and detect so-called "financial market dislocations", defined as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from the triangular arbitrage parity for exchange rate triplets. Due to increasing media attention towards mispricing in the market for cryptocurrencies, we include the cryptocurrency Bitcoin in addition to fiat currencies. We do not find evidence for substantial deviations from the triangular arbitrage parity when only traditional fiat currencies are concerned. However, we document significant deviations from triangular arbitrage parities in the newer markets for Bitcoin. |
Subject Headings: | triangular arbitrage parity monitoring cointegration cryptocurrencies foreign exchange markets |
Subject Headings (RSWK): | Devisenarbitrage Virtuelle Währung |
URI: | http://hdl.handle.net/2003/36820 http://dx.doi.org/10.17877/DE290R-18821 |
Issue Date: | 2018 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_0918_SFB823_Reynolds_Sögner_Wagner_Wied.pdf | DNB | 1.09 MB | Adobe PDF | View/Open |
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