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This doesn't take into account available volume. For that you need to solve a min-cost flow algorithm, using for instance the Ford–Fulkerson algorithm.
by murbard2 11y ago
This doesn't take into account available volume. For that you need to solve a min-cost flow algorithm, using for instance the Ford–Fulkerson algorithm.
- gavazzy 11y agoLow volume is one of the reasons that arbitrage was so difficult with Bitcoin. While an individual could be somewhat profitable, it just couldn't provide adequate returns for a medium or large organization.
- codesci 11y agoAvailable volume? Forex is the most liquid market in the world.
- murbard2 11y ago1) There's still finite volume at a given price, and the arbitrages, when they do happen, typically involve small volumes. 2) There is more to arbitrage than Forex markets
- foobar2020 11y agoYes. But if your arbitrage pattern is only 3 pips profitable, and you are exchanging millions at once, you might expect that the amount of available orders matching your path may actually matter.