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



Reza Habibi


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.


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


  • 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.
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