Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis
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Date
18 juin 2019
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Type de document
Périmètre
Identifiants
- 1906.07491
- Nonlinear Dynamics 98, 2349-2364 (2019)
- doi: 10.1007/s11071-019-05335-5
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Mots-clés
Quantitative Finance - Statistical Finance Computer Science - Computational Engineering, Finance, and Science Economics - General Economics Physics - Data Analysis, Statistics and ProbabilitySujets proches
Hours (Time) Cambistry International exchange Exchange, Foreign Foreign exchange problem Foreign currency Currency exchange FX (Finance) Foreign money ForexCiter ce document
Robert Gębarowski et al., « Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis », arXiv - économie, ID : 10.1007/s11071-019-05335-5
