Triangular Arbitrage. Profit Conditions and a Trading Algorithm

Author
fernando bender
License
Creative Commons CC BY 4.0
Abstract

an overview on the triangular arbitrage, followed by an example presents the operation and its practical nuances, including order issued. its most relevant aspects are depicted in pseudo code. we move one to obtain the profit conditions, for the given example. conditions are generalized, a framework for comparing multiple opportunities is presented, and a trading algorithm is proposed based on the obtained conditions.

Triangular Arbitrage. Profit Conditions and a Trading Algorithm