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Academic Journal of Engineering and Technology Science, 2019, 2(1); doi: 10.25236/AJETS.020014.

A Currency Arbitrage High Frequency Trading Algorithm & Architecture Design

Author(s)

Tianyou Wang

Corresponding Author:
Tianyou Wang
Affiliation(s)

Institute of Electronics and Communication Engineering, North China Electric Power University (Baoding campus), Baoding 071000, China
Email: guhhhhaa@gmail.com

Abstract

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.

Keywords

Market microstructure, Cross arbitrage, arbitrage path, high frequency trading (HFT)

Cite This Paper

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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