Academic Journal of Engineering and Technology Science, 2019, 2(1); doi: 10.25236/AJETS.020014.
Tianyou Wang
Institute of Electronics and Communication Engineering, North China Electric Power University (Baoding campus), Baoding 071000, China
Email: [email protected]
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.
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