The microscopic relationships between triangular arbitrage and cross-currency correlations in a simple agent based model of foreign exchange markets

• Alberto Ciacci ,

  Contributed equally to this work with: Alberto Ciacci, Takumi Sueshige

  Roles Conceptualization, Data curation, Formal analysis, Funding acquisition, Investigation, Methodology, Resources, Software, Validation, Visualization, Writing – original draft, Writing – review & editing

  * E-mail: alberto.ciacci16@imperial.ac.uk (AC); takayasu.m.aa@m.titech.ac.jp (MT)

  Affiliations Blackett Laboratory, Imperial College London, London, England, United Kingdom, Center for Complexity Science, Imperial College London, London, England, United Kingdom

  http://orcid.org/0000-0002-1514-2162

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• Takumi Sueshige ,

  Contributed equally to this work with: Alberto Ciacci, Takumi Sueshige

  Roles Conceptualization, Data curation, Formal analysis, Funding acquisition, Investigation, Methodology, Resources, Software, Validation, Visualization, Writing – original draft, Writing – review & editing

  Affiliation Department of Mathematical and Computing Science, School of Computing, Tokyo Institute of Technology, Nagatsuta-cho, Midori-ku, Yokohama, Japan

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• Hideki Takayasu,

  Roles Conceptualization, Methodology, Project administration, Supervision, Writing – review & editing

  Affiliations Institute of Innovative Research, Tokyo Institute of Technology, Nagatsuta-cho, Yokohama, Japan, Sony Computer Science Laboratories, Higashigotanda, Shinagawa-ku, Tokyo, Japan

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• Kim Christensen,

  Roles Project administration, Supervision, Writing – review & editing

  Affiliations Blackett Laboratory, Imperial College London, London, England, United Kingdom, Center for Complexity Science, Imperial College London, London, England, United Kingdom

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• Misako Takayasu

  Roles Conceptualization, Funding acquisition, Methodology, Project administration, Resources, Supervision, Writing – review & editing

  * E-mail: alberto.ciacci16@imperial.ac.uk (AC); takayasu.m.aa@m.titech.ac.jp (MT)

  Affiliations Department of Mathematical and Computing Science, School of Computing, Tokyo Institute of Technology, Nagatsuta-cho, Midori-ku, Yokohama, Japan, Institute of Innovative Research, Tokyo Institute of Technology, Nagatsuta-cho, Yokohama, Japan

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