• ISSN: 2010-023X
    • Frequency: Bimonthly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Executive Editor: Ms. Cherry L. Chen
    • Abstracting/ Indexing:  ProQuest, Crossref, Electronic Journals Library , EBSCO, and Ulrich's Periodicals Directory
    • E-mail: ijtef@ejournal.net
IJTEF 2010 Vol.1(4): 345-348 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2010.V1.61

Currency Cross Rate and Triangular Arbitrage in Nigerian Exchange Market

Bright O. Osu
Abstract—Economic and financial phenomena are analyzed by models based on statistical physics; for example modeling of financial markets as stochastic processes. Stochastic models of stock price changes have been studied by many authors, only that these models discuss change in one price. This paper studies the existence of interaction between the prices of the markets caused by a financial activity called currency cross rate and currency cycle (or triangular arbitrage transaction) as in the Nigerian exchange markets. A simple economic model where the time evolution is described by an equation capturing the currency cross rate under arbitrage is studied. We show that the mean-field limit of this equation as well as the wealth of the investors (the arbitrageurs) in this market is distributed according to the power-law type.

Index Terms—Currency cross rate, Power-law distribution, Nigerian exchange market, Triangular arbitrage.


Cite:Bright O. Osu, "Currency Cross Rate and Triangular Arbitrage in Nigerian Exchange Market," International Journal of Trade, Economics and Finance vol.1, no.4, pp. 345-348, 2010.

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