Question
Select one set of currency pairs and check if you can generate a profitable triangular arbitrage strategy to gain some short term profits. You are
Select one set of currency pairs and check if you can generate a profitable triangular arbitrage strategy to gain some short term profits. You are required to provide all the relevant calculations, interpret your findings and make a conclusion. The exchange rates are quoted as follows.
Currency Pairs - Set 1 JPY/USD 139.8950 AUD/USD 1.4908 JPY/AUD 93.8650
Currency Pairs - Set 2 CHF/GBP 1.1328 AUD/ GBP 1.7733 AUD/CHF 1.5655
Currency Pairs - Set 3 CAD/EUR 1.3807 NZD/EUR 1.6833 CAD/NZD
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The Analysis And Use Of Financial Statements
Authors: Gerald I. White, Ashwinpaul C. Sondhi, Haim D. Fried
2nd Edition
0471111864, 978-0471111863
