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2 results for “arbitrage”

Formulae (2)

Rate_{A/C} = Rate_{A/B} \times Rate_{B/C}

Derive the exchange rate between two currencies via a common third currency.

Profit = \left(\dfrac{1}{R_{AB}} \times R_{AC} \times R_{CB}\right) - 1

A riskless profit captured when three currencies’ cross rates are momentarily inconsistent.