Sunday, September 25, 2011

Triangular Arbitrage during the Interbank Open: USD, SEK, and NOK

4:06pm - 6:27pm, Sept. 25, 2011
This is the opening of the interbank currency market just after 4pm CST, Sunday, September 25, 2011.  This is a brief preview of another forthcoming post on triangular arbitrage in the currency markets.  This study looks at the USD/SEK, USD/NOK, and NOK/SEK pairs.  To the right is the opening of the real USD/SEK rate spread against the synthetic USD/SEK rate developed from the other two pairs.  Notice how the synthetic rate (red/blue) keys off the movements of the live rate (orange/light blue), narrowing with each passing minute.

This is the first time I have captured the Sunday opening of the FX markets. 
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2 comments:

Ludo said...

Hello,

Where you see opporunity of arbitrage ? what time ?

Regards
Ludo.

October 5, 2011 at 7:03 AM
JW said...

There was no opportunity for arbitrage in the posted screenshot. The attached chart is just showing the structure of the outrights and the spread as liquidity is introduced in the currency markets.

The green and purple lines would need to break from parity for an opportunity to be present.

October 5, 2011 at 8:38 AM

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