Essays about: "Triangular arbitrage"

Found 3 essays containing the words Triangular arbitrage.

  1. 1. Automated Triangular Arbitrage: : A Trading Algorithm for Foreign Exchange on a Cryptocurrency Market

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Sanghyun Bai; Fred Robinson; [2019]
    Keywords : blockchain; cryptocurrency; arbitrage; foreign exchange; trading algorithm; optimization; java;

    Abstract : This project uses software development to investigate the link between software and finance. The focus of the work is developing and implementing a trading algorithm which seeks to make profit by making trades based on arbitrage opportunities between currencies. READ MORE

  3. 2. Triangular Arbitrage in the ForexMarket : Emerging versus Developed markets

    University essay from Umeå universitet/Företagsekonomi

    Author : Kristian Dukov; Elena Kyriaki; [2014]
    Keywords : Efficient Market Hypothesis; Triangular arbitrage; Magnitude; Developed markets; Emerging markets; Forex; Currencies; High Frequency Trading; Arbitrage Opportunities.;

    Abstract : Over the last decade, researchers have attempted to show how efficient the markets are by using Fama’s Efficiency Market Hypothesis (EMH). The theory states that an investor cannot increase his returns without taking additional risk. The markets can be efficient in different forms depending on the information included in the traded asset. READ MORE

  4. 3. Analyzing and modelling exchange rate data using VAR framework

    University essay from KTH/Matematik (Inst.)

    Author : Rokas Serpeka; [2012]
    Keywords : exchange rates; vector autoregressive model; portfolio optimization;

    Abstract : Abstract   In this report analysis of foreign exchange rates time series are performed. First, triangular arbitrage is detected and eliminated from data series using linear algebra tools. Then Vector Autoregressive processes are calibrated and used to replicate dynamics of exchange rates as well as to forecast time series. READ MORE