xxxxxxxxxx<meta charset="utf-8"><style>.MathJax_Display {text-align: left !important;}</style><body><h1>Bitcoin Arbitrage Exercise</h1>This is my solution to the <a href="https://priceonomics.com/jobs/puzzle/">Bitcoin Arbitrage puzzle</a> posted earlier this year by <a href="https://priceonomics.com">Priceonomics</a>. A matrix of continuously-published currency rates is algorithmically skewed and the challenge is to uncover any arbitrage opportunities. Calculations are re-run every time this page is loaded/refreshed, using <a href="https://developer.yahoo.com/yql/">YQL</a> to fetch the latest rates and <a href="https://www.mathjax.org/">MathJax</a> to render the results. <br><br>All spot market arbitrage can be decomposed into duality-arbitrage (different prices for the same thing) and triangular-arbitrage (relative prices between three assets not unity). Any higher order arbitrage relationships (i.e. involving more than three assets) are a combination of duality- and triangular-arbs.<h2>Duality Arbitrage</h2>Duality arbitrage occurs when the different prices are attached to the same currency pair.<div id="dual"></div><h2>Triangular Arbitrage</h2>A currency has no absolute value, only relative value against other assets/currencies. Triangular arbitrage occurs when the relative value of a currency towards two different assets does not match the relative value between those assets. For any triangular relationship in this exercise there are 8 combinations of currency pairs to choose from (i.e. the price of EURUSD differs from USDEUR). To avoid double-counting the duality issues identified above, we pick the triangular combination of rates that results in the minimum arbitrage possible (the rest is contaminated by duality-arb)<div id="triangular"></div><hr>(c) 2013 <a href="https://github.com/zjonsson">Ziggy Jonsson</a> - Licence <a href="https://opensource.org/licenses/MIT">MIT</a> - <a href="https://gist.github.com/ZJONSSON/8138007">(source)</a><script src="https://code.jquery.com/jquery-1.10.1.min.js"></script><script type="text/javascript" src="https://cdn.mathjax.org/mathjax/latest/mathjax.js?config=tex-ams-mml_htmlormml"></script><script src="arb.js"></script><script src="https://query.yahooapis.com/v1/public/yql?callback=main&format=json&q=select%20*%20from%20json%20where%20url=%22https://fx.priceonomics.com/v1/rates/%22"></script></body> Modified http://code.jquery.com/jquery-1.10.1.min.js to a secure url
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Modified http://query.yahooapis.com/v1/public/yql?callback=main&format=json&q=select%20*%20from%20json%20where%20url=%22http://fx.priceonomics.com/v1/rates/%22 to a secure url
https://code.jquery.com/jquery-1.10.1.min.js
https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS-MML_HTMLorMML
https://query.yahooapis.com/v1/public/yql?callback=main&format=json&q=select%20*%20from%20json%20where%20url=%22https://fx.priceonomics.com/v1/rates/%22