Question
QUESTION 7 After returning home to Australia, over drinks John tells his friends about his trip. One of Johns friends, Petr, who is of Russian
QUESTION 7
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After returning home to Australia, over drinks John tells his friends about his trip. One of Johns friends, Petr, who is of Russian heritage, is a FX arbitrage trader for a bank and quizzes John about the currency transactions John performed on his trip and Petr is intrigued. The next Monday, Petr, who usually trades arbitrage opportunities in the Asian currencies takes a look at the European currencies. Starting with 10 standard lots in USD and noting the following currency pairs what profit could Petr generate?
- EUR/RUB: 88.0006
- USD/RUB: 72.5585
- EUR/USD: 1.2086
A. USD 3,481
B. USD 3,482
C. USD 3,489
D. USD 3,493
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High Frequency Financial Econometrics
Authors: Yacine Aït Sahalia, Jean Jacod
1st Edition
0691161437, 978-0691161433
