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

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