Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Automated Triangular Arbitrage:: A Trading Algorithm for Foreign Exchange on a Cryptocurrency Market
KTH, School of Electrical Engineering and Computer Science (EECS).
KTH, School of Electrical Engineering and Computer Science (EECS).
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This project uses software development to investigate the link between software and finance. The focus of the work is developing and implementing a trading algorithm which seeks to make profit by making trades based on arbitrage opportunities between currencies. Specifically, the sets of currencies examined are two fiat currencies and one cryptocurrency. Trades are made by combining a blockchain system, which maintains the cryptocurrency, and the live foreign exchange market, which enables fiat currency exchange. The main methodologies for carrying out the research are test-driven development and the use of a simulation to facilitate trades. By passing all of the unit tests, the software is verified. In addition, data gathered during runs of the simulation show that the algorithm successfully identifies arbitrage opportunities and turns a profit on average over many runs. This project proposes an interesting topic for further research in the field of blockchain technology used for financial trading.

Abstract [sv]

Detta projekt bygger på mjukvaruutveckling för att undersöka kopplingen mellan programvara och finans. Arbetet fokuserar på att utveckla och implementera en algoritm för valutahandel som försöker skapa vinst genom att genomföra handel baserade på arbitragemöjligheter mellan valutor. Specifikt är de uppsättningar valutakurserna som undersöks två ordinarie valutor och en kryptovaluta. Handel utförs genom att kombinera ett s.k. blockchain-system, som upprätthåller kryptovalutan, och den ordinarie valutamarknaden för vanlig valutaväxling. De viktigaste metoderna för att genomföra undersökningen är testdriven utveckling och användande av simulering för att genomföra valutahandel. Mjukvaran verifieras med hjälp av en uppsättning enhetstester. Dessutom visar datan som samlats under simuleringar att algoritmen framgångsrikt identifierar arbitragemöjligheter och i genomsnitt ger en vinst över många körningar. Detta projekt utgör på så sätt ett intressant ämne för vidare forskning inom blockchain- teknik för finansiell handel.

Place, publisher, year, edition, pages
2019. , p. 52
Series
TRITA-EECS-EX ; 2019:98
Keywords [en]
blockchain, cryptocurrency, arbitrage, foreign exchange, trading algorithm, optimization, java
National Category
Computer and Information Sciences
Identifiers
URN: urn:nbn:se:kth:diva-252838OAI: oai:DiVA.org:kth-252838DiVA, id: diva2:1322682
Supervisors
Examiners
Available from: 2019-06-11 Created: 2019-06-11 Last updated: 2019-06-11Bibliographically approved

Open Access in DiVA

fulltext(774 kB)104 downloads
File information
File name FULLTEXT02.pdfFile size 774 kBChecksum SHA-512
a5c97b4c31455ec22f6f9f099fa29faa4cbd23dc7234fce7727f1f47d0aaf80a354f95c68549b0e44219ca7a97e12bfe2061c085e9df12f55553f92b4996ef95
Type fulltextMimetype application/pdf

By organisation
School of Electrical Engineering and Computer Science (EECS)
Computer and Information Sciences

Search outside of DiVA

GoogleGoogle Scholar
Total: 104 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 411 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf