Intra-Day Arbitrage Opportunities in Foreign Exchange and Eurocurrency Markets
利用实时报价数据，研究即期与远期外汇市场及国内外证券市场同时达到均衡的频率，并衡量抵补利率套利和单向套利的盈利性。结果发现传统套利机会罕见，但市场同时均衡频率低，为单向套利提供了空间。
We have two primary objectives in this study. First, we examine the frequency of attaining simultaneous equilibrium on spot and forward foreign exchange markets and on domestic and foreign securities markets. Second, we measure the profitability of covered interest arbitrage and one-way arbitrage. Our empirical analysis has been conducted using real-time quotations. The empirical results indicate that: (a) the markets are efficient in the sense that profit opportunities from traditional covered interest arbitrage are rarely available; and (b) the frequency of attaining simultaneous market equilibrium is surprisingly low, thus opening the door for one-way arbitrage.