Genetic Algorithm for Arbitrage with More than Three Currencies

We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of the proposed algorithm. Applying the algorithm to the mos...

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Detalles Bibliográficos
Autores: Fernández-Pérez, Adrian, Fernández-Rodríguez, Fernando, Sosvilla Rivero, Simón Javier
Tipo de recurso: artículo
Fecha de publicación:2012
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/43000
Acceso en línea:https://hdl.handle.net/20.500.14352/43000
Access Level:acceso abierto
Palabra clave:Arbitrage
Foreign Exchange Market
Genetic Algorithm.
Dinero
Econometría (Economía)
5304.06 Dinero y Operaciones Bancarias
5302 Econometría
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spelling Genetic Algorithm for Arbitrage with More than Three CurrenciesFernández-Pérez, AdrianFernández-Rodríguez, FernandoSosvilla Rivero, Simón JavierArbitrageForeign Exchange MarketGenetic Algorithm.DineroEconometría (Economía)5304.06 Dinero y Operaciones Bancarias5302 EconometríaWe develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of the proposed algorithm. Applying the algorithm to the most traded currencies, we find average profits ranking from 4.5083% to 0.3162% for changing 1 USD for EUR with respect to the direct exchange rate, for different transaction costs, during the period October 2000-April 2012. Our results also suggest that the arbitrage profits increased just after the subprime crisis in summer of 2007 and that they are higher when the market is less liquid.Scientific Research PublishingUniversidad Complutense de Madrid20122012-01-0120122012-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14352/43000reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/430002026-06-02T12:44:21Z
dc.title.none.fl_str_mv Genetic Algorithm for Arbitrage with More than Three Currencies
title Genetic Algorithm for Arbitrage with More than Three Currencies
spellingShingle Genetic Algorithm for Arbitrage with More than Three Currencies
Fernández-Pérez, Adrian
Arbitrage
Foreign Exchange Market
Genetic Algorithm.
Dinero
Econometría (Economía)
5304.06 Dinero y Operaciones Bancarias
5302 Econometría
title_short Genetic Algorithm for Arbitrage with More than Three Currencies
title_full Genetic Algorithm for Arbitrage with More than Three Currencies
title_fullStr Genetic Algorithm for Arbitrage with More than Three Currencies
title_full_unstemmed Genetic Algorithm for Arbitrage with More than Three Currencies
title_sort Genetic Algorithm for Arbitrage with More than Three Currencies
dc.creator.none.fl_str_mv Fernández-Pérez, Adrian
Fernández-Rodríguez, Fernando
Sosvilla Rivero, Simón Javier
author Fernández-Pérez, Adrian
author_facet Fernández-Pérez, Adrian
Fernández-Rodríguez, Fernando
Sosvilla Rivero, Simón Javier
author_role author
author2 Fernández-Rodríguez, Fernando
Sosvilla Rivero, Simón Javier
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv Arbitrage
Foreign Exchange Market
Genetic Algorithm.
Dinero
Econometría (Economía)
5304.06 Dinero y Operaciones Bancarias
5302 Econometría
topic Arbitrage
Foreign Exchange Market
Genetic Algorithm.
Dinero
Econometría (Economía)
5304.06 Dinero y Operaciones Bancarias
5302 Econometría
description We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of the proposed algorithm. Applying the algorithm to the most traded currencies, we find average profits ranking from 4.5083% to 0.3162% for changing 1 USD for EUR with respect to the direct exchange rate, for different transaction costs, during the period October 2000-April 2012. Our results also suggest that the arbitrage profits increased just after the subprime crisis in summer of 2007 and that they are higher when the market is less liquid.
publishDate 2012
dc.date.none.fl_str_mv 2012
2012-01-01
2012
2012-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/43000
url https://hdl.handle.net/20.500.14352/43000
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Scientific Research Publishing
publisher.none.fl_str_mv Scientific Research Publishing
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300724

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