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dc.contributor.authorReynolds, Julia-
dc.contributor.authorSögner, Leopold-
dc.contributor.authorWagner, Martin-
dc.contributor.authorWied, Dominik-
dc.date.accessioned2018-03-27T14:57:15Z-
dc.date.available2018-03-27T14:57:15Z-
dc.date.issued2018-
dc.identifier.urihttp://hdl.handle.net/2003/36820-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-18821-
dc.description.abstractThis 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.en
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;9/2018-
dc.subjecttriangular arbitrage parityen
dc.subjectmonitoringen
dc.subjectcointegrationen
dc.subjectcryptocurrenciesen
dc.subjectforeign exchange marketsen
dc.subject.ddc310-
dc.subject.ddc330-
dc.subject.ddc620-
dc.titleDeviations from triangular arbitrage parity in foreign exchange and bitcoin marketsen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dc.subject.rswkDevisenarbitragede
dc.subject.rswkVirtuelle Währungde
dcterms.accessRightsopen access-
eldorado.secondarypublicationfalsede
Appears in Collections:Sonderforschungsbereich (SFB) 823

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