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在国际外汇市场中,由于市场在地理位置上的分离、经营时间的差异以及信息的差异,可能在某一时刻存在着无风险套汇的机会。由于传统套汇识别方法机械、低效率,难以有效应对多市场、多货币的套汇环境,所以如何快速、有效识别套汇机会,搜索套汇路径便成为一个问题。本文在马明博士简单矩阵法的基础上,先从一个外汇市场出发,从简单到繁杂,系统地论述、整理理论,并通过数学模拟及实证案例分析,总结出一个有效的、简单易行的方法,进而扩展到国际多外汇市场套汇,通过数学模拟证实这一方法的有效性。
In the international foreign exchange market, there may be a chance of risk-free arbitrage at a certain moment due to the geographical separation of markets, differences in business hours and differences in information. Because of the mechanical and inefficient traditional methods of identification, it is difficult to effectively deal with the multi-market and multi-currency arbitrage environment. Therefore, how to quickly and effectively identify arbitrage opportunities and search for arbitrage routes has become a problem. On the basis of Dr. Ma Ming’s simple matrix method, starting from a foreign exchange market, from simple to complicated, systematically discuss and collate the theory, and through mathematical simulation and empirical analysis, summed up an effective, simple and easy Method, and then extended to the international multi-currency market arbitrage, through mathematical simulation confirmed the effectiveness of this method.