Diagram of triangle arbitrage of digital currency
Publish: 2021-05-27 07:53:22
1. Theoretically speaking, three currency pairs among three kinds of currencies that satisfy the triangular relationship can be used for triangular arbitrage
in addition, we need to meet the two conditions of good liquidity and low transaction cost
therefore, the most suitable one is: USD EUR JPY aud GBP CHF CAD, in which the prices of any three currencies are compared with each other
then put it into practice. The internationally popular algorithmic trading and arbitrage hedging are dominated by big investment banks, which rely on the computing power competition of computer groups and even servers. Some investment banks even spend a lot of money to move the whole company close to the exchange in order to pursue a little advantage in network speed. The EA you studied is the most rough, backward and simple algorithm. It really has no future.
in addition, we need to meet the two conditions of good liquidity and low transaction cost
therefore, the most suitable one is: USD EUR JPY aud GBP CHF CAD, in which the prices of any three currencies are compared with each other
then put it into practice. The internationally popular algorithmic trading and arbitrage hedging are dominated by big investment banks, which rely on the computing power competition of computer groups and even servers. Some investment banks even spend a lot of money to move the whole company close to the exchange in order to pursue a little advantage in network speed. The EA you studied is the most rough, backward and simple algorithm. It really has no future.
2.
Cross arbitrage refers to the international arbitrage in which investors buy cheap and sell expensive at the same time when the arbitrage exchange rates of three or more currencies are different from the actual published exchange rates
for example, in bank a, the exchange rate of US dollar in Dutch dollar is 1.9025fl / $, in bank B, the exchange rate of US dollar in Canadian dollar is 1.2646c $/ $, and in Bank C, the exchange rate of Canadian dollar in Dutch dollar is 1.5214fl/c $. According to the quotation of Bank A and bank B and the calculation of cross exchange rate, we can get the price of Canadian dollar in kilde as follows: (1.9025fl / $) / (1.2646c $/ $) = 1.5044fl / C $
the cross exchange rate level is different between Bank C and Canadian dollar, which means that there is arbitrage space. Because the exchange rate of Canadian dollar of Bank C is higher than the result calculated by cross exchange rate, it shows that one unit of Canadian dollar has a higher value in bank C. Therefore, if one unit of Canadian dollar is exchanged for one unit of Canadian dollar through the transaction between bank a and bank B at the rate of 1.5044 kird, and the Canadian dollar is exchanged with Bank C at the rate of 1.5214 kird, then a triangle arbitrage of 0.017 kird will be obtained
triangular arbitrage process: the exchange rate calculated through cross exchange rate is different from the actual exchange rate in the market, resulting in arbitrage space in the market. Market participants can buy and sell foreign currencies among different banks at the same time, so-called triangle arbitrage
3. When we discuss this triangle arbitrage, we first introce a concept: cross exchange rate, which refers to the price of one non US dollar currency representing the price of another non US dollar currency, U.S. dollar / Hong Kong dollar = 7.80. Suppose that the cross exchange rate of a certain market is HKD / JPY = 16 (because the cross exchange rates in different markets are different in many cases (sometimes the cross exchange rates in the same market do not match the theoretical cross exchange rates), In this case, we can carry out the following operations: suppose you have 1000 US dollars, if you first exchange US dollars into HK $1000 * 7.80 = 7800, and then exchange them into yen 7800 * 16 = 124800 through cross exchange rate, you get 124800 yen, But if you exchange US dollars directly into yen, you can only get 1000 * 120 = 120000, In this way, you can earn 4800 yen. The following are the steps of triangle Arbitrage: 1. Buy 7800 Hong Kong dollars with 1000 US dollars; 2. Buy 124800 yen with 7800 Hong Kong dollars according to the cross exchange rate; 3. Buy 1040 US dollars with 124800; 4. Repeat this operation continuously. In fact, this operation is often used by multinational enterprises. Suppose that an American enterprise wants to invest 10 million US dollars in Japan, Of course, any operation of transnational capital flow is combined and multi-channel, because there are great risks in any arbitrage activities
4. There is something wrong with your expression. The Swiss Franc / US dollar should be the equivalent of the unit Swiss franc, while the sfr1.5971 / $expression is the equivalent of the unit US dollar. According to the current exchange rate situation and the number after the equal sign, judge and calculate:
, first judge whether arbitrage and arbitrage direction can be realized, The first market: US dollar 1 = sfr1.5971
the second market: Australian dollar 1 = $1 / 1.8215
the third market: Swiss Franc 1 = a $1.1440
exchange rate multiplication: 1.5971 * 1 / 1.8215 * 1.1440 = 1.0031
not equal to 1, favorable for right set, greater than 1. Starting from the market with us dollar as the base currency, the market with us dollar as the base currency is the first market, Exchange it into Swiss Franc in the first market, yuan in the third market, and US dollar in the second market, minus arbitrage investment, which is profit:
1000000 * 1.5971 * 1.1440 * 1 / 1.8215-1000000 = US $3064.73
, first judge whether arbitrage and arbitrage direction can be realized, The first market: US dollar 1 = sfr1.5971
the second market: Australian dollar 1 = $1 / 1.8215
the third market: Swiss Franc 1 = a $1.1440
exchange rate multiplication: 1.5971 * 1 / 1.8215 * 1.1440 = 1.0031
not equal to 1, favorable for right set, greater than 1. Starting from the market with us dollar as the base currency, the market with us dollar as the base currency is the first market, Exchange it into Swiss Franc in the first market, yuan in the third market, and US dollar in the second market, minus arbitrage investment, which is profit:
1000000 * 1.5971 * 1.1440 * 1 / 1.8215-1000000 = US $3064.73
5. In my opinion, I just say that there is a price between the exchange rates of the three types of triangle risk-free arbitrage
which is called the current price. It is a price between the purchase price and the selling price quoted in the actual market, not necessarily the median value. If you multiply or divide two of the three varieties, you can get a value similar to the current price of the third variety. If there is a difference between the similar value and the current price of the third variety, if you can trade at the current price, then since there is a difference, you can definitely make money, as long as you are long and short
however, if a dealer wants to make money, there will be a little difference, that is, there is a gap between the tradable price and the current price, and this gap has always been detrimental to you, and has been increasing your cost. If there is triangle arbitrage, each variety has to pay a handling fee. In standard cases, the handling fee is generally 2% - 3% or higher of the margin
OK, assuming that there is still a profit margin in the case of high cost above
the third problem is that many people are not clear about the standard of foreign exchange contract. Since it is arbitrage, the arbitrage I understand is generally the same thing. If you buy cheap from a and sell expensive from B, the contract is signed almost at the same time, but I don't remember the foreign exchange very well, The standard hand at the beginning of USD represents the contract value of US $10W, while the standard hand at different beginning of other contracts has different contract value. Therefore, when arbitrage, the quantity control should be well planned in advance. Otherwise, if you buy 2 tons in a and 1 ton in B, you will have to bear the risk of the remaining one ton, which is not risk-free arbitrage.
which is called the current price. It is a price between the purchase price and the selling price quoted in the actual market, not necessarily the median value. If you multiply or divide two of the three varieties, you can get a value similar to the current price of the third variety. If there is a difference between the similar value and the current price of the third variety, if you can trade at the current price, then since there is a difference, you can definitely make money, as long as you are long and short
however, if a dealer wants to make money, there will be a little difference, that is, there is a gap between the tradable price and the current price, and this gap has always been detrimental to you, and has been increasing your cost. If there is triangle arbitrage, each variety has to pay a handling fee. In standard cases, the handling fee is generally 2% - 3% or higher of the margin
OK, assuming that there is still a profit margin in the case of high cost above
the third problem is that many people are not clear about the standard of foreign exchange contract. Since it is arbitrage, the arbitrage I understand is generally the same thing. If you buy cheap from a and sell expensive from B, the contract is signed almost at the same time, but I don't remember the foreign exchange very well, The standard hand at the beginning of USD represents the contract value of US $10W, while the standard hand at different beginning of other contracts has different contract value. Therefore, when arbitrage, the quantity control should be well planned in advance. Otherwise, if you buy 2 tons in a and 1 ton in B, you will have to bear the risk of the remaining one ton, which is not risk-free arbitrage.
6. The loophole arbitrage of using digital currency is talent, which ordinary people can't do
7. If the price is lower and lower, the total fixed investment cost will be smaller
move bricks arbitrage, because there will be some differences in the price of currencies in major exchanges. Move bricks arbitrage is to earn the difference. Now the income of indivial move brick arbitrage is not very ideal, and the operation is more
if someone comes to you and says that they can help you carry bricks for arbitrage, try not to believe it, and try to keep your money in the place you can control
if you want additional income, you can choose the financial management of major platforms. There's a push in the exchange or in the wallet.
move bricks arbitrage, because there will be some differences in the price of currencies in major exchanges. Move bricks arbitrage is to earn the difference. Now the income of indivial move brick arbitrage is not very ideal, and the operation is more
if someone comes to you and says that they can help you carry bricks for arbitrage, try not to believe it, and try to keep your money in the place you can control
if you want additional income, you can choose the financial management of major platforms. There's a push in the exchange or in the wallet.
8. Report to the police. In addition, money is something outside your body after all. Don't put too much pressure on it. Pay tuition fees. You have to think about investment by yourself. You are greedy for other people's high interest rates. People want your principal. In a word, be cautious. There are too many chaos and scams in the name of investment. Take a cut and gain wisdom. There are too many chaos now
9. Everything is the accumulation of Kung Fu. The quickest shortcut is to aim at something down-to-earth and do it thoroughly. When the time comes, making money is a matter of course. On the contrary, the mentality is impetuous, eager for quick success and instant benefit, and often things will return to the extreme, but not to speed. Making money is also a truth.
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