Optimal Arbitrage Path in the Foreign Exchange Market
The Spread of Financial Sophistication through Emerging Markets Worldwide
ISBN: 978-1-78635-156-2, eISBN: 978-1-78635-155-5
Publication date: 11 August 2016
Abstract
This chapter is concerned with finding the optimal arbitrage path in a foreign exchange market. First, an algorithm for the optimal arbitrage path is derived. Then, the Markov chain solution to the problem of most profitable path is given. Also, a game theory perspective to the problem is given.
Keywords
Citation
Habibi, R. (2016), "Optimal Arbitrage Path in the Foreign Exchange Market", The Spread of Financial Sophistication through Emerging Markets Worldwide (Research in Finance, Vol. 32), Emerald Group Publishing Limited, Leeds, pp. 337-343. https://doi.org/10.1108/S0196-382120160000032014
Publisher
:Emerald Group Publishing Limited
Copyright © 2016 Emerald Group Publishing Limited