Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/84425
Authors: 
Apreda, Rodolfo
Year of Publication: 
2005
Series/Report no.: 
Serie Documentos de Trabajo, Universidad del CEMA: Área: finanzas 290
Abstract: 
This paper sets forth the foundations for a transactional approach for the performance of arbitrage in foreign exchange markets. Firstly, we review both the standard model of financial arbitrage and the so-called covered-interest arbitrage environment, and we also lay bare striking shortcomings in these points of view, mainly grounded on a wide- ranging empirical evidence. Next, we move on to what we have labeled in previous research working papers a transactional algebra, from which we expand on its main tools of analysis, namely differential rates, residual information sets, arbitrage gaps and transaction costs functions. Afterwards, we establish and prove the minimal conditions under which a successful arbitrage can be carried out within a transactional algebra.
Subjects: 
transactional algebras
arbitrage
covered-interest arbitrage
differential rates
residual information sets
arbitrage gaps
JEL: 
F30
F31
G15
Document Type: 
Working Paper

Files in This Item:
File
Size
397.21 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.