摘要翻译：
如果金融市场表现出有效市场假说(EMH)中假定的信息效率，套利操作就会自我熄灭。本文研究了交易平台和信息分散的外汇市场套利序列。在Kozyakin等人案中。（2010）和Cross等人。（2012）研究表明，在包含4种货币的外汇市场上，交易者-套利者的三角套利操作序列往往呈现周期性或指数增长，而不是自灭。本文将这种分析扩展到5阶或更高阶的货币世界。主要发现是，在5种货币的世界中，套利序列也可能遵循指数规律和显示周期性，但在高阶货币的世界中，双指数规律可能额外适用。在更高阶的货币世界中，存在着“不稳定性的遗传”。因此，有利可图的套利操作是地方性的，而不是表现出有效市场假说所暗示的自灭特性。
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英文标题：
《Double Exponential Instability of Triangular Arbitrage Systems》
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作者：
Rod Cross, Victor Kozyakin
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Mathematics        数学
二级分类：Dynamical Systems        动力系统
分类描述：Dynamics of differential equations and flows, mechanics, classical few-body problems, iterations, complex dynamics, delayed differential equations
微分方程和流动的动力学，力学，经典的少体问题，迭代，复杂动力学，延迟微分方程
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一级分类：Mathematics        数学
二级分类：Rings and Algebras        环与代数
分类描述：Non-commutative rings and algebras, non-associative algebras, universal algebra and lattice theory, linear algebra, semigroups
非交换环与代数，非结合代数，泛代数与格论，线性代数，半群
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一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
  If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX) markets, in which trading platforms and information are fragmented. In Kozyakin et al. (2010) and Cross et al. (2012) it was shown that sequences of triangular arbitrage operations in FX markets containing 4 currencies and trader-arbitrageurs tend to display periodicity or grow exponentially rather than being self-extinguishing. This paper extends the analysis to 5 or higher-order currency worlds. The key findings are that in a 5-currency world arbitrage sequences may also follow an exponential law as well as display periodicity, but that in higher-order currency worlds a double exponential law may additionally apply. There is an "inheritance of instability" in the higher-order currency worlds. Profitable arbitrage operations are thus endemic rather that displaying the self-extinguishing properties implied by the EMH.
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PDF链接：
https://arxiv.org/pdf/1204.3422