English, Article edition: EQUILIBRIUM CONDITIONS OF FORWARD EXCHANGE MARKET EXPRESSED IN A SIMPLE GEOMETRIC STRUCTURE JIANGUO CHEN; LLOYD P. BLENMAN

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Physical Description
  • article
Language
  • English

Edition details

Title
  • EQUILIBRIUM CONDITIONS OF FORWARD EXCHANGE MARKET EXPRESSED IN A SIMPLE GEOMETRIC STRUCTURE
Author
  • JIANGUO CHEN
  • LLOYD P. BLENMAN
Physical Description
  • article
Notes
  • The paper focuses on the market equilibrium conditions in forward exchange quotes. By careful analysis of the market arbitrage conditions, market supply and demand, we construct the equilibrium ranges for bid and ask forward quotes separately. We present our analysis in a bid-ask cost structure setting, and directly tie the equilibrium and arbitrage conditions to specific trading strategies. We conclude that in equilibrium there will be no chance for one-way-arbitrage in foreign exchange and securities markets, provided that non-reversed traders are active and set the arbitrage boundaries. The framework we develop in the paper is convenient for academic study and practical use in currency and security markets.
  • Foreign exchange rate, forward rate, arbitrage, forward swap
  • RePEc:wsi:ijtafx:v:08:y:2005:i:07:p:915-932
Language
  • English
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