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.