From what I can understand from the pdf file, you can only make profits if we can simultaneously buy EUR using USD, then use the bought EUR to buy JPY and then use the bought JPY to buy back USD. However, I don't know of any broker which will allow us to do them .

As for xpie's suggestion, that may not work if the broker consistently keep the difference between the real price from the theoretical price at a constant or near constant level. Besides, the normal fluctuations of the currency pair may negate any gains from the arbitrage.

Highest-resolution historical data I could find that does not gap is 10 second data from Dukascopy. Did a very brief manual comparison using GBPUSD, GBPJPY, and USDJPY.

I compared derived price of USDJPY (formula: GBPJPY/GBPUSD) with actual USDJPY price.

Highest gap I could find is 9 pips. (3/16/2006 12:29:01) I don't think 9 pips is good enough.

Now if I can only find reliable tick data, then I'm pretty sure I can find more than 9 pip difference...

Attached Files

GBPUSD_10_5000-ANALYSIS.zip (487.3 KB, 73 views)

Is anyone, or has anyone worked on any sort of arbitrage/pair-hedging for the pairs EURUSD>GBPUSD>EURGBP or similar? I would like to chat....

__________________
"Anyone who has never made a mistake has never tried anything new." -Albert Einstein

I tried it a couple of times. It won't give you statistical advantage over other methods. Synthetical EURGBP in most ways would be identical to the natural EURGBP but the lost of double spread is not a good idea.

You can create a synthetical null position in say
EURUSD buy
GBPUSD sell
EURGBP sell which would always be in the red since you cannot win back a spread

I'm into that right now, and it works.

Can you share your system with me?

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"Anyone who has never made a mistake has never tried anything new." -Albert Einstein

There is a ton of hedging threads/ideas here:
http://www.goldenmoneytree.com/forum...9e06fdb2ea04d6

Also this guy has an intresting tri/arb idea
http://kreslik.com/forums/viewtopic.php?t=307

__________________
"Only those who dare to fail greatly can ever achieve greatly."

Thanks! This looks great =D

__________________
"Anyone who has never made a mistake has never tried anything new." -Albert Einstein

You can find more explanations : http://kreslik.com/forums/viewtopic.php?t=307
in my case, Kreslik was the guy who brought this topic in my attention.
but basically:
triangle arbitrage is possible when for example:
EURJPY<> EURUSD*USDJPY (which 99% of the time is true)
now if you will build and indicator showing the difference:
EURJPY - EURUSD*USDJPY
You will see that oscillates around value 0. theoretically every time this difference is <> 0 you have an arbitrage opportunity:
if indicator >0 according to triangle arb. theory means that EUR is overvalued against JPY and you need to sell EURJPY (buy JPY with EUR)
if indicator<0 the opposite is true and you need to buy EUR with JPY.

practically that is what it looks like:
Included in calc. spread of EURUSD,USDJPY, EURJPY = 2pip.

(sorry it seems impossible to upload pics quickly , need to resize)

Attached Images

	triangle arb.png (8.6 KB, 488 views)
	triangle arb1.png (4.6 KB, 498 views)

Can you tell me which broker offers 2pip spread on EURJPY?
The lowest I can find is 3pips for EURJPY.

The idea is interesting but I think it will depend too much on the broker. The broker could "sabotage" our trading by not executing the orders fast enough or by executing them at a different price.