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Genetic Algorithm for Arbitrage with More than Three Currencies

dc.contributor.authorFernández-Pérez, Adrian
dc.contributor.authorFernández-Rodríguez, Fernando
dc.contributor.authorSosvilla Rivero, Simón Javier
dc.date.accessioned2023-06-20T00:48:29Z
dc.date.available2023-06-20T00:48:29Z
dc.date.issued2012
dc.description.abstractWe 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.
dc.description.departmentDepto. de Análisis Económico y Economía Cuantitativa
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.refereedTRUE
dc.description.sponsorshipMinisterio de Ciencia e Innovación (MICINN)
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/59806
dc.identifier.doi10.4236/ti.2012.33025
dc.identifier.issn2150-4067
dc.identifier.officialurlhttp://dx.doi.org/10.4236/ti.2012.33025
dc.identifier.urihttps://hdl.handle.net/20.500.14352/43000
dc.issue.number3
dc.journal.titleTechnology and Investment
dc.language.isoeng
dc.page.final186
dc.page.initial181
dc.publisherScientific Research Publishing
dc.relation.projectID(ECO2010- 21318; ECO2011-23189)
dc.rights.accessRightsopen access
dc.subject.keywordArbitrage
dc.subject.keywordForeign Exchange Market
dc.subject.keywordGenetic Algorithm.
dc.subject.ucmDinero
dc.subject.ucmEconometría (Economía)
dc.subject.unesco5304.06 Dinero y Operaciones Bancarias
dc.subject.unesco5302 Econometría
dc.titleGenetic Algorithm for Arbitrage with More than Three Currencies
dc.typejournal article
dc.volume.number3
dspace.entity.typePublication
relation.isAuthorOfPublication13e83682-e923-4f28-a770-1140d295a334
relation.isAuthorOfPublication.latestForDiscovery13e83682-e923-4f28-a770-1140d295a334

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