PUBLICATIONS

  • ISSN No. Print
  • ISSN No. Online
  • Registration No.
  • Periodicity
  • Print
  • Online
  • Website

A Note on Game Theoretic Approach to Detect Arbitrage Strategy: Application in the Foreign Exchange Market

DOI
10.15415/mjis.2016.51004

AUTHORS

Reza Habibi

ABSTRACT

A game theoretic approach to detect arbitrage strategy in a foreign exchange market is proposed. Five propositions are given and then the optimal arbitrage path is derived.

KEYWORDS

Arbitrage strategy; Exchange rate matrix, Foreign exchange market; Game theory

REFERENCES

  • Hao, Y. (2009). Foreign exchange rate arbitrage using the matrix method. Technical report. Chulalongkorn University. Bangkok.
  • Ma, M. (2008). Identifying foreign exchange arbitrage opportunities through matrix approach. Technical report. School of Management and Economics, Beijing Institute of Technology.
  • Raghavan, T. E. S. (1994). Zero-sum two-person games. In: Handbook of game theory with eco-nomic applications, Volume 2, Aumann RJ, Hart S (eds), Elsevier Science B.V., Amsterdam: 735–760. https://doi.org/10.1016/S1574-0005(05)80052-9
Call for Papers Publication Policy Instructions to the Authors Paper Submission Subscription Form Copyright Form Author Profile Format Sample paper Recommend to a Librarian Patrons & Leadership

Refereed Research Journal

Plagiarism Checked by

Member of CrossRef

Indexing

Call for Papers

Invites papers for next issue of Mathematical Journal of Interdisciplinary Sciences

Frequency

Mathematical Journal of Interdisciplinary Sciences is published Bi-Annually

Number-1 September
Number-2 March