Before revision: This paper investigates arbitrage chains involving d currencies and d foreign exchange trader-arbitrageurs. The commonly recognized belief in economics and finance is that arbitrage has the effect of causing prices in different marketsto converge. This conjecture was recently disproved in Kozyakin et al. (2010) ;
After revision: If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX) markets, in which trading platforms and information are fragmented. In Kozyakin et al. (2010) ;