A Note on Game Theoretic Approach to Detect Arbitrage Strategy: Application in the Foreign Exchange Market
DOI:
https://doi.org/10.15415/mjis.2016.51004Keywords:
Arbitrage strategy, Exchange rate matrix, Foreign exchange market, Game theoryAbstract
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.
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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 economic 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
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Articles in Mathematical Journal of Interdisciplinary Sciences (Math. J. Interdiscip. Sci.) by Chitkara University Publications are Open Access articles that are published with licensed under a Creative Commons Attribution- CC-BY 4.0 International License. Based on a work at https://mjis.chitkara.edu.in. This license permits one to use, remix, tweak and reproduction in any medium, even commercially provided one give credit for the original creation.
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Mathematical Journal of Interdisciplinary Sciences by Chitkara University Publications is licensed under a Creative Commons Attribution 4.0 International License. Based on a work at https://mjis.chitkara.edu.in |
