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三角套利与汇率间相关性：基于智能体的FX模型

文章 arXiv papers · 作者: Alberto Ciacci et al.
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总结

本研究使用基于智能体的模型，探索外汇市场中的汇率相关性如何形成。研究聚焦于做市商与利用汇率三角关系套利者之间的互动。其动机是，相关货币对可能在极短时间内同步变动，而闪崩等事件会显现出异常剧烈的同步波动。

该模型在定性层面再现了交易数据中观察到的相关性强度与时间尺度之间的关系。结果表明，三角套利是不同汇率动态相互关联的重要来源。模型还显示，三角套利与趋势跟随策略之间的互动，会影响两种汇率相关性的符号和大小。这些是基于模型的解释，并非对实盘市场因果机制的证明：摘录没有介绍校准、定量拟合或交易表现。该研究提出的是对跨货币依赖关系的微观解释，而非可直接交易的套利策略。

核心观点

  • 模型研究做市商与三角套利者如何互动并产生货币对相关性。
  • 模型在定性层面再现了观察到的相关性模式与时间尺度之间的关系。
  • 结果指出，三角套利是推动不同汇率动态相互关联的因素。
  • 趋势跟随行为会影响货币对相关性的符号和强度。
  • 这些发现解释的是模型行为，并未证明存在可盈利的实盘交易策略。

标签

外汇套利配对交易市场微观结构统计学
全文
# 2002.02583


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









Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash crashes.In this scenario, an abrupt price swing occurring on a given market is immediately followed by anomalous movements in several related foreign exchange rates. Although a deep understanding of cross-currency correlations would be clearly beneficial for conceiving more stable and safer foreign exchange markets, the microscopic origins of these interdependencies have not been extensively investigated. We introduce an agent-based model which describes the emergence of cross-currency correlations from the interactions between market makers and an arbitrager. Our model qualitatively replicates the time-scale vs. cross-correlation diagrams observed in real trading data, suggesting that triangular arbitrage plays a primary role in the entanglement of the dynamics of different foreign exchange rates. Furthermore, the model shows how the features of the cross-correlation function between two foreign exchange rates, such as its sign and value, emerge from the interplay between triangular arbitrage and trend-following strategies.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。