SIG-FIN-012-12
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開始行:
[[第12回研究会]]
*為替市場における裁定機会の解析 [#oba1d881]
**著者 [#vdd8b3a8]
山田健太(早稲田大学高等研究所), 伊藤隆敏(東京大学大学...
**概要 [#j1ff5e2a]
We introduce analysis of arbitrage opportunities in the f...
by using high-frequency data. We showed two kinds of arbi...
arbitrages and triangle arbitrages, and we modeled the oc...
the number of deals and the number of computer traders. T...
years. In particular an emergence of computer traders, wh...
is one of the biggest news in nancial markets, and the c...
arbitrages much faster than human traders. We also modele...
triangular arbitrages within one second that is the minim...
using volatility, the number of deals and the number of c...
**論文 [#a5b8edf3]
&ref(SIG-FIN-012-12.pdf);
終了行:
[[第12回研究会]]
*為替市場における裁定機会の解析 [#oba1d881]
**著者 [#vdd8b3a8]
山田健太(早稲田大学高等研究所), 伊藤隆敏(東京大学大学...
**概要 [#j1ff5e2a]
We introduce analysis of arbitrage opportunities in the f...
by using high-frequency data. We showed two kinds of arbi...
arbitrages and triangle arbitrages, and we modeled the oc...
the number of deals and the number of computer traders. T...
years. In particular an emergence of computer traders, wh...
is one of the biggest news in nancial markets, and the c...
arbitrages much faster than human traders. We also modele...
triangular arbitrages within one second that is the minim...
using volatility, the number of deals and the number of c...
**論文 [#a5b8edf3]
&ref(SIG-FIN-012-12.pdf);
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