Fernández-Pérez, Adrián; Fernández-Rodríguez, Fernando - Asociación Española de Economía y Finanzas … - 2012
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...