Arbitrage with the Bellman-Ford Algorithm

Authors

  • Margaret Gao Aspiring Scientists’ Summer Internship Program Intern
  • Dr. Fei Li Aspiring Scientists’ Summer Internship Program Primary Mentor

DOI:

https://doi.org/10.13021/jssr2022.3451

Abstract

In this project, we study the arbitrage problem and design classic algorithms for it. We have a fixed amount of assets, for example, US dollars. We are given a set of currencies and a set of currency exchange rates. The objective is for a cycle, starting from US currency, and ending at US currency so that we can have more assets by exchanging currencies along this cycle. We apply the Bellman-Ford algorithm. Our experimental results show that our approach is promising and works fast with negligible running time in finding out the best currency exchange path if any.

Published

2022-12-13

Issue

Section

College of Engineering and Computing: Department of Computer Science

Categories