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Quivr

Graph-Theoretic Cyclical Arbitrage

 

Member profile details

Membership level
2018-2019 Team
Team Name
Quivr
Project Title
Graph-Theoretic Cyclical Arbitrage
Design Challenge
The strategy of triangular arbitrage has historically been applied to the foreign exchange currency markets as a means of capturing value in market inefficiencies. Today, the massive rise of digital assets, or cryptocurrencies, as well as their dispersed and usually unregulated exchanges gives rise to the ability to further extend the notion of triangular arbitrage and capture inefficiencies in these markets at an even larger scale. To do so, we will be applying the underpinnings of graph theory to represent these markets and to seek arbitrage opportunities within and between cryptocurrency exchanges. This work may be the precursor to further applications of such a strategy in other financial markets.
Date Updated
Tuesday, September 04, 2018
Sponsors
Quantlab Financial
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Department(s)
  • Computational and Applied Mathematics
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Faculty Advisor 1 - Name
Ensor
Faculty Advisor 1 - Department
  • STAT

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