Estimation and arbitrage opportunities for exchange rate baskets

Arbitrage and investment opportunities

We consider a model in which any investment opportunity is described in terms of cash flows. We don’t assume that there is a numéraire, enabling investors to transfer wealth through time; the time horizon is not supposed to be finite and the investment opportunities are not specifically related to the buying and selling of securities on a financial market. In this quite general framework, we sh...

Arbitrage-free exchange rate ensembles over a general trade network

It is assumed that under suitable economic and information-theoretic conditions, market exchange rates are free from arbitrage. Commodity markets in which trades occur over a complete graph are shown to be trivial. We therefore examine the vector space of no-arbitrage exchange rate ensembles over an arbitrary connected undirected graph. Consideration is given for the minimal information for det...

an appropriate model for exchange rate predictability in iran: comparing potential forecastability

nowadays in trade and economic issues, prediction is proposed as the most important branch of science. existence of effective variables, caused various sectors of the economic and business executives to prefer having mechanisms which can be used in their decisions. in recent years, several advances have led to various challenges in the science of forecasting. economical managers in various fi...

The Appropriate Exchange Rate System and the Regulation and Forecast of Exchange Rate for Iran's Economy

Investigating the Yen/dmark Rate: Arbitrage Opportunities and a Case for Asymmetry

Derivations from the triangular equality are observed on foreign exchange markets when the respective rates are sampled with very high frequencies. At a rst glance a standard error correction model seems appropriate to explain the evolution of FX{returns depending on recent returns and on deviations from the triangular equality. The paper examines the validity of the common error correction mod...