

Foreign Exchange Arbitrage with Haskell - dko
http://www.fatvat.co.uk/2010/07/foreign-exchange-arbitrage.html

======
stephenjudkins
>> Assuming that I've understood the format properly (anyone know any good
books to get this kind of basic information?), then running this code through
the 21 million (!) ticker updates in January 2010 yields absolutely ZERO
arbitrage opportunities. With my limited knowledge, I think this is because of
the efficient-market hypothesis.

This doesn't even support an extremely weak version of the efficient-market
hypothesis. It's very easy to believe that simple, first-order arbitrage
opportunities like this effectively don't exist; the weak version of
efficient-market hypothesis implies that the price of significantly more
complex assets reflect all publicly available information. Possible currency
arbitrage opportunities like he tried to find don't even require any
information beyond the prices.

That said, it's very cool that he did this, even if the results are
unsurprising.

~~~
jefffoster
I'd really like to understand more about markets and how they fit together. It
sounds like you've got a better understanding than me, can you recommend any
good books?

(I'm the author of that thing)

------
vgurgov
>> Back to the drawing board with my money making schemes!

Is anyone surprised with that result? Nice reading though, i appreciate his
time and willing to share the result. I would be to lazy to prove that myself.
))

------
jplewicke
You can also do this using standard Bellman-Ford or Floyd-Warshall if you set
edge weights to be -log(exchange rate).

