The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets-Reference-Cited by-同舟云学术

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The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets

Published:2020-06-24 Issue:6 Volume:15 Page:e0234709
ISSN:1932-6203
Container-title:PLOS ONE
language:en
Short-container-title:PLoS ONE

Author:

Ciacci Alberto^ORCID,Sueshige Takumi,Takayasu Hideki,Christensen Kim,Takayasu Misako

Publisher

Public Library of Science (PLoS)

Subject

Multidisciplinary

Reference61 articles.

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2. Limit order books;MD Gould;Quantitative Finance,2013

3. Inverse cubic law for the distribution of stock price variations;P Gopikrishnan;The European Physical Journal B-Condensed Matter and Complex Systems,1998

4. Empirical properties of asset returns: stylized facts and statistical issues;R Cont;Quantitative Finance,2001

5. Stock return distributions: tests of scaling and universality from three distinct stock markets;V Plerou;Physical Review E,2008

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