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本文将三角套汇识别推广到任意n种货币的套汇识别。n种货币之间的相互比价形成现实汇率矩阵A,它的特征向量代表“虚拟金本位制度”下各种货币的含金量。由此构造出无套利基准汇率矩阵B,A除以B得到评估矩阵C,它表明各货币在各外汇市场上被低估或高估的程度,据此即可获得最优套汇路径。
This paper extends Triangle Recognition to arbitrage recognition of arbitrarily n currencies. The mutual ratio between n currencies forms the real exchange rate matrix A, whose eigenvectors represent the gold content of various currencies under the “virtual gold standard system”. Thus, the arbitrage-free arbitrage exchange rate matrix B is constructed. A divided by B to get the evaluation matrix C, which shows that each currency is underestimated or overestimated in each foreign exchange market, so as to obtain the optimal arbitrage path.