外匯市場三角套利策略之分析;Analysis of Triangular Arbitrage in Foreign Exchange Markets

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/86241

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/86241

Title:	外匯市場三角套利策略之分析;Analysis of Triangular Arbitrage in Foreign Exchange Markets
Authors:	周銘?;Chou, Ming-Chun
Contributors:	財務金融學系在職專班
Keywords:	三角套利;外匯市場;triangular arbitrage;foreign exchange market
Date:	2021-10-26
Issue Date:	2021-12-07 12:20:43 (UTC+8)
Publisher:	國立中央大學
Abstract:	本文探討外匯市場上三角套利 (triangular arbitrage)機會的形成，並比較外匯市場不同交易時段之套利機會與套利利潤。以2020年的外匯市場日內報價資料為研究樣本，研究結果顯示三角套利機會分散在一天的24小時中，在交易較熱絡的GMT 8:00 - 20:00時段，因外匯交易量大，造成外匯市場之價格效率相對較高，所以套利機會明顯較GMT 20:00 - 8:00時段短暫，但GMT 8:00 - 20:00時段的套利利潤比較大。另本文亦發現紐約倫敦重疊交易時段之三角套利機會與其他時段相比，並無顯著差異。;This thesis studies the opportunity of triangular arbitrage in the foreign exchange market. Using the data of intraday quotes of three triangles of currencies: EUR-USD-JPY, EUR-USD-CHF, and EUR-USD-GBP, we find that the arbitrage opportunities occur over the 24 hours in one day. We compare the triangular opportunities across different trading periods. The results show that the period of GMT 8:00 - 20:00, which is more liquid than the period of GMT 20:00 - 8:00, has less arbitrage opportunity than the period of GMT 20:00 - 8:00. However, the profit of triangular arbitrage is higher in the period of GMT 8:00 - 20:00 than in the period of GMT 20:00 - 8:00.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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