Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Detecting correlations and triangular arbitrage opportunities in the
  Forex by means of multifractal detrended cross-correlations analysis   Multifractal detrended cross-correlation methodology is described and applied
to Foreign exchange (Forex) market time series. Fluctuations of high frequency
exchange rates of eight major world currencies over 2010-2018 period are used
to study cross-correlations. The study is motivated by fundamental questions in
complex systems' response to significant environmental changes and by potential
applications in investment strategies, including detecting triangular arbitrage
opportunities. Dominant multiscale cross-correlations between the exchange
rates are found to typically occur at smaller fluctuation levels. However
hierarchical organization of ties expressed in terms of dendrograms, with a
novel application of the multiscale cross-correlation coefficient, are more
pronounced at large fluctuations. The cross-correlations are quantified to be
stronger on average between those exchange rate pairs that are bound within
triangular relations. Some pairs from outside triangular relations are however
identified to be exceptionally strongly correlated as compared to the average
strength of triangular correlations.This in particular applies to those
exchange rates that involve Australian and New Zealand dollars and reflects
their economic relations. Significant events with impact on the Forex are shown
to induce triangular arbitrage opportunities which at the same time reduce
cross--correlations on the smallest time scales and act destructively on the
multiscale organization of correlations. In 2010--2018 such instances took
place in connection with the Swiss National Bank intervention and the weakening
of British pound sterling accompanying the initiation of Brexit procedure. The
methodology could be applicable to temporal and multiscale pattern detection in
any time series.

36
The categories of this paper are: cmp-lg
7
The categories of this paper are: hep-th
23
The categories of this paper are: solv-int
30
The categories of this paper are: q-alg
0
The categories of this paper are: hep-ph
16
The categories of this paper are: stat
11
The categories of this paper are: hep-lat
35
The categories of this paper are: mtrl-th
13
The categories of this paper are: quant-ph
32
The categories of this paper are: atom-ph
27
The categories of this paper are: comp-gas
20
The categories of this paper are: acc-phys
21
The categories of this paper are: adap-org
34
The categories of this paper are: chem-ph
33
The categories of this paper are: plasm-ph
26
The categories of this paper are: bayes-an