Fernández-Pérez, Adrián; Fernández-Rodríguez, Fernando - Asociación Española de Economía y Finanzas … - 2012
We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage … profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of … the period October 2000- April 2012. Our results also suggest that the arbitrage profits increased just after the subprime …