| Summary: | 碩士 === 大同大學 === 資訊經營學系(所) === 100 === In this study, we use an investment theory, the triangular arbitrage, which can be computerized to implement an automated arbitrage trading strategy for the foreign exchange trading. We analyze the possibility whether the system based on this strategy can be profitable.
The triangular arbitrage is a trading strategy often used in an ineffective market which theoretically does not appear, but de facto exist in the foreign exchange market. Literature reveals that using the triangular arbitrage trading strategy will take profit, even after subtracting transaction costs.
In this study, we use the triangular arbitrage strategy to implement an automated trading program and explore the patterns appearing in the market. An automated procedure may face many problems and challenges. We have solved these problems and adapted the strategy to the real market environment. The system is able to provide satisfactory results.
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