Academic Journal of Engineering and Technology Science, 2019, 2(1); doi: 10.25236/AJETS.020014.
Institute of Electronics and Communication Engineering, North China Electric Power University (Baoding campus), Baoding 071000, China
A new risk-free arbitrage algorithm is proposed to identify the best arbitrage opportunity by finding the negative weight closure path in the directed graph model. Although some conventional arbitrage methods are theoretically appropriate, it has only recently been considered that it is impossible to capture these arbitrage opportunities with a gradual decrease in probability. An important issue in applied finance is the rapid identification of arbitrage paths. The improvement of the shortest path negative weight loop identification arbitrage algorithm will maximize the performance of the electronic broker high frequency trading system. To accomplish this task, we focused on verifying that the little-known path planning algorithm proposed by Alfonso Shimbel in 1955 was run in O(|V|·|E|) time.
Market microstructure, Cross arbitrage, arbitrage path, high frequency trading (HFT)
Tianyou Wang. A Currency Arbitrage High Frequency Trading Algorithm & Architecture Design. Academic Journal of Engineering and Technology Science (2019) Vol.1, Num.1: 48-58.
1] Xu Xiwei, Chen Wei, Yuan Qiang. Optimized Search of Risk-free Arbitrage Path in International Foreign Exchange Market [J]. Quantitative Economics of Economics and Technology, 2006, 23 (2): 76-85.
 Ma Ming. Global Foreign Exchange Arbitrage Identification Indicators and Possible Optimal Arbitrage Paths [J]. Economics (Quarterly), 2004 (S1): 65-76.
 Zhang Yufei, Ma Ming. Research on the relationship between arbitrage and bid-ask spread in foreign exchange market [J]. Finance and Economy, 2010 (03): 48-49.
 Duan Fanding. SPFA Fast Algorithm for Shortest Path [J]. Journal of Southwest Jiaotong University, 1994 (02): 207-212.
 I. Newton, "The influence of permutable archetypes on complexity theory," Microsoft Research, Tech. Rep. 4846/38, Jan. 1999.
 G. Ito and D. S. Scott, "A refinement of architecture," in Proceedings of SIGGRAPH, Dec. 1995.
 B. Martin, "The relationship between superblocks and 802.11 mesh networks," in Proceedings of ASPLOS, May 1999.
 F. Corbato, "Simulating superblocks and consistent hashing," IEEE JSAC , vol. 6.