Arbitrage with the Bellman-Ford Algorithm

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.