Discussion of article "Triangular arbitrage" - page 5
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I'd love to hear your opinion on why such a simple idea needs such a complex solution.
This is the next stage. And it is not more complicated, but more competent.
This is the next step. And it's not more complicated, it's more sophisticated.
I understand that it's more competent, but in terms of energy consumption, how efficient is it?
I realise it's more competent, but in terms of energy consumption, how efficient is it?
Close to perfect.
the calculation of triangle pairs is too complicated, it could have been done in a few lines.
and the output is nothing - there is no profit to be made when everything is closed.
This picture shows arbitrage of four currency pairs (number of blue arrows). Is it possible to have optimal arbitrage with more participants?
Does this thing take commissions into account?
And in my opinion, the smaller the arbitrage chain, the better.
Does this thing take commissions into account?
The smaller the arbitrage chain, the better.
Forum on trading, automated trading systems and testing trading strategies.
Flat construction, but how to open on it?
anonymous, 2014.09.23 22:30
2) The weights of the edges of the graph are the logarithms of the corresponding rates(transaction costs can also be factored in).
In trying to understand triangle arbitrage, I got the gist of it this way:
It is not forex instruments that are bought and sold, but purely currency. I apologise if I'm not clear.
That is, for example, to carry out triangular arbitrage you should buy EUR for USD, then buy GBP for available EUR and then sell GBP for USD (other sequence is possible).
BUT!!! in this construction, when buying GBP for EUR (Sell EURGBP), first the broker sells us EUR for our USD and only then sells us GBP ... It turns out that Sell EURGBP is already a part of triangular arbitrage, which we can not complete for the simple reason that selling GBP for USD (Sell GBPUSD) we will not close the EURGBP position
Is there a solution for finding the optimal way to resolve any portfolio deviation?
I could not understand this terminology by search.
In trying to understand triangle arbitrage, I got the gist of it this way:
It is not forex instruments that are bought and sold, but purely currency. I apologise if I'm not clear.
That is, for example, to carry out triangular arbitrage you need to buy EUR for USD, then buy GBP for available EUR and then sell GBP for USD (other sequence is possible).
BUT!!! in this construction, when buying GBP for EUR (Sell EURGBP), first the broker sells us EUR for our USD and only then sells us GBP ... It turns out that Sell EURGBP is already a part of triangular arbitrage, which we cannot complete for the simple reason that selling GBP for USD (Sell GBPUSD) will not close the EURGBP position.
It is extremely problematic to align positions perfectly. we can say that there is almost always a directional position.