Live Demonstration: Capturing Short-Lived Currency Arbitrage Opportunities with a Simulated Bifurcation Algorithm-Based Trading System

We present a cross-currency arbitrage system equipped with a custom accelerator for a simulated bifurcation algorithm to find optimal arbitrage opportunities, together with a market emulator that reproduces historical foreign exchange data feeds. We demonstrate that the system can capture short-live...

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Bibliographic Details
Published in2020 IEEE International Symposium on Circuits and Systems (ISCAS) p. 1
Main Authors Yamasaki, Masaya, Hidaka, Ryo, Sakai, Yoshisato, Yamaguchi, Jun, Nakamura, Yasuhito, Goto, Hayato, Tatsumura, Kosuke
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.10.2020
Subjects
Bifurcation
Currencies
Electric shock
Electronic mail
Feeds
Liquids
Optimization
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Summary:We present a cross-currency arbitrage system equipped with a custom accelerator for a simulated bifurcation algorithm to find optimal arbitrage opportunities, together with a market emulator that reproduces historical foreign exchange data feeds. We demonstrate that the system can capture short-lived (less than 1 millisecond lifetime) optimal arbitrage opportunities and respond to rapidly changing markets by issuing order packets within 30 microseconds after receiving market data feeds.
ISBN:9781728133201
1728133203
ISSN:2158-1525
2158-1525
DOI:10.1109/ISCAS45731.2020.9180679