RT Journal Article
T1 Genetic Algorithm for Arbitrage with More than Three Currencies
A1 Fernández-Pérez, Adrian
A1 Fernández-Rodríguez, Fernando
A1 Sosvilla Rivero, Simón Javier
AB 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.
PB Scientific Research Publishing
SN 2150-4067
YR 2012
FD 2012
LK https://hdl.handle.net/20.500.14352/43000
UL https://hdl.handle.net/20.500.14352/43000
LA eng
NO Ministerio de Ciencia e Innovación (MICINN)
DS Docta Complutense
RD 9 jun 2025