Which is most accurate about Triangular Arbitrage?
1. If going around one direction results in profit, then going in opposite direction will produce an equal loss?
2. Going around one direction , you will always deal with bid quotes, going around other direction, you will always deal with ask quotes
3. Possible that you will loose money in both directions , because of bid-ask spread.
Answer will be posted in 2 hours.作者: troymo 时间: 2013-4-7 02:53
Answer is 3.
Explanation :Whether you deal at bid or ask depends on how ccy is quoted. It is not determined by direction taken around the triangle.
