  For the purpose of elucidating the correlation among currencies, we analyze
daily and high-resolution data of foreign exchange rates. There is strong
correlation for pairs of currencies of geographically near countries. We show
that there is a time delay of order less than a minute between two currency
markets having a strong cross-correlation. The cross-correlation between
exchange rates is lower in shorter time scale in any case. As a corollary we
notice a kind of contradiction that the direct Yen-Dollar rate significantly
differs from the indirect Yen-Dollar rate through Euro in short time scales.
This result shows the existence of arbitrage opportunity among currency
exchange markets.
