Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Triangular arbitrage?

Definition 16.1 Markets III: Commodities, Energy and Crypto · Hoofdstuk 16 — Spot Markets

Triangular arbitrage is a cycle of three trades on one venue that starts and ends in the same asset through two others, for example USDT into bitcoin, bitcoin into ether and ether back into USDT, executed when the product of the three exchange rates, after fees, exceeds one.

A triangular cycle on one venue: USDT into bitcoin, bitcoin into ether, ether back into USDT. The cycle, or its reverse, pays only when the quoted ETH/BTC price leaves the band around the implied cross set by three taker fees and the spreads. Schematic.
Figure 16.1. A triangular cycle on one venue: USDT into bitcoin, bitcoin into ether, ether back into USDT. The cycle, or its reverse, pays only when the quoted ETH/BTC price leaves the band around the implied cross set by three taker fees and the spreads. Schematic.
Lees in het hoofdstuk →