Computational currency swapping

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review


In the world's financial market today, there are many exchange rates. Banks have their own exchange rates posted and these rates are dynamic in nature. There are arbitrage opportunities when there exist price differences among different currencies in the international exchange market. The major process of the arbitrage strategy is to convert one currency to another, then convert it again to a third currency.etc., and then eventually convert it back to the original currency within a short time span. The simplest form of this process is the triangular arbitrage which involves only three currencies. It is possible to process more than three currencies in order to apply the arbitrage process. Although it may seem as if arbitrage is a risk-free process, in reality, there are risks involved. One of the risk factors is time; i.e., how fast one can process and how much capital one has in order to take advantage of these price discrepancies. It is worth noting that the arbitrage opportunities only exist when a bank's quoted exchange rate is not equal to the market's implicit cross exchange rate; these all happen in the range of seconds. The high frequency market fluctuation makes this process a challenge and calls for the utilization of high-performance computation. In this paper, we investigate the arbitrage problem by utilizing GPU to identify the opportunities and speed up the process.

Original languageEnglish
Title of host publicationWMSCI 2014 - 18th World Multi-Conference on Systemics, Cybernetics and Informatics, Proceedings
EditorsNagib C. Callaos, Michael Savoie, Belkis Sanchez, Natalja Lace, William Lesso
PublisherInternational Institute of Informatics and Systemics, IIIS
Number of pages4
ISBN (Electronic)9781941763049
StatePublished - 1 Jan 2014
Event18th World Multi-Conference on Systemics, Cybernetics and Informatics, WMSCI 2014 - Orlando, United States
Duration: 15 Jul 201418 Jul 2014


Other18th World Multi-Conference on Systemics, Cybernetics and Informatics, WMSCI 2014
Country/TerritoryUnited States


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