What's new?  (Feb 22, 2011)

3D Web version of  FX arbitrage comes out:  link: www.beijingdata4d.com 

next step is to embed the trader and dealer's behavior in to the Game model. 

Focus: 

        If you read the exchange rate quote matrix (such as on Reuters,  Bloomberg, or Financial Times (lateset), Wall Street Journal ) ,although the cross-rate matrix is aribitrage free, the actual quote matrix as slightly perturbed from time to time  from this matrix, its eigenvalue and eigenvector indicate the space arbitrage opportunity and arbitrage path respectively.

    1. A new matrix approach to asset pricing in foreign exchange market is presented, the primary eigenvalue and the correspondent eigenvalue have special economic meanings, the primary eigenvalue l_max is an indicator for arbitrage opportunities and the eigenvetor is an indicaotr for arbitrage path .  NOTE: There has been a software for this(see the bottom the the webpage), employing VC++ and OpenGL, developed completely on my own. 

     2. Generalized Interest Rate Parity.

 

About me 

June~July, 2006  Visiting Scholar with Professor Richard Levich, Stern School of Business, New York University  (photo together)

May~June,2006   Visiting Scholar with Professor George M. Constantinides,  Graduate School of Business, University of Chicago. (photo together)

August 2005~May 2006, July~August,  Visiting Scholar with Professor Richard K. Lyons, Haas School of Business, University of California, Berkeley. (photo together)

                      All pictures during my visit (August 2005- August 2006)

Education

Double Bachelor Degrees: BS in Applied Mathematics and BEng in Engineering Economics, 1991, Tianjin University, China.  Ph.D. in Economics, 1998, Nankai University, China.  

Work

I worked at the National Research Institute of Economic Reforms, the Agricultural Bank of China, the People’s Bank of China (the Central Bank) .

 

Working Papers

 link

  

Publications

 link

 

Software  

 Based on the matrix analysis, I have developed a software, employing VC++ and OpenGL, developed completely on my own.

Main features:

1. In real-time foreign exchange market, it can detect space arbitrage opportunities for spot and forward exchange rates..

2. Display the arbitrage path and arbitrage points with 3D graphs.

3.  It can collect data from real-time database if improve a bit.

4.  Dynamic graphs for Time-varying arbitrage opportunities.

5.  it is a trial version so it delays for 2 seconds and can only deal with 6 currencies. however the release version is no delay and can deal with 30 currencies or more.

6.  Very small size, zipped file only 1.4M, if leave out some fun pictures, it is 1.1M only.

 

Download here

( 0 ) Brief manual:  Word format     PDF format

You can download any one of those files below as you like.They are safe softwares and you don't need installation and uninstallation, just unzip it to your local folder, the run the "FX.exe".  If you don't like it, just delete the file and the folder. That's simple!

( 1 ) Self extraction file: download here   *.exe,  1.4M 

( 2 ) WinRar file:          download here    *.rar,    1.3M 

( 3 ) Winzipped file:      download here    *.zip    1.6M

  Any comments are welcome!  Please send to Mr. Ma at mark.ming.ma@gmail.com  

 

 

 

 

 

 

 

 

 

 p

wp