Publication: Deviations from Triangular Arbitrage Pa...
Master data
Title: | Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets |
Subtitle: | |
Abstract: | This paper applies recently developed procedures to monitor and date 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 from a cointegration perspective. Due to increasing attention on and importance of 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, but document significant deviations from triangular arbitrage parities in the newer markets for Bitcoin. We confirm the importance of our results for portfolio strategies by showing that a currency portfolio that trades based on our detected break-points outperforms a simple buy-and-hold strategy. |
Keywords: | Triangular Arbitrage Parity, Foreign Exchange Markets, Cryptocurrencies, Cointegration, Monitoring |
Publication type: | Research report (Authorship) |
Publication date: | 07.2020 (Online) |
Published by: |
IHS Working Paper Series
IHS Working Paper Series
(
Institut für Höhere Studien;
)
to publication |
Title of the series: | - |
Volume number: | 17 |
Issue: | - |
First publication: | Yes |
Version: | - |
Page: | - |
Total number of pages: | 47 pp. |
Versionen
Keine Version vorhanden |
Publication date: | 07.2020 |
ISBN (e-book): | - |
eISSN: | - |
DOI: | - |
Homepage: | https://irihs.ihs.ac.at/id/eprint/5396 |
Open access |
|
Authors
Julia Reynolds (external) | ||||
Leopold Sögner
|
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Martin Wagner (internal) |
Assignment
Organisation | Address | ||||
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Fakultät für Wirtschafts- und Rechtswissenschaften
Institut für Volkswirtschaftslehre
|
AT - A-9020 Klagenfurt |
Categorisation
Subject areas | |
Research Cluster | No research Research Cluster selected |
Peer reviewed |
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Publication focus |
Classification raster of the assigned organisational units:
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working groups | No working group selected |
Cooperations
Organisation | Address | ||
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Vienna Graduate School of Finance
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AT - 1020 Wien |
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Università della Svizzera italiana
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CH - 6900 Lugano |
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Institut für Höhere Studien
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AT - 1080 Wien |
Research activities
Projects: | No related projects |
Publications: | No related publications |
Events: | No related events |
Lectures: | No related lectures |