HighFrequency Foreign Exchange Currency （高频外汇货币）.pdfVIP

High-Frequency Foreign Exchange Currency Trading (Forex HFT) Spring 2016 Members: Graham Gobieski, Kevin Kwan, Ziyi Zhu, Shang Liu UNIs: gsg2120, kjk2150, zz2374, sl3881 Table of Index 1. Background 2. Design Overview 2.1 Identification of Arbitrage 2.2 Pipeline 3. Data and Communication 3.1 Raw Data 3.2 Preprocesing and Floating-Point Approximation 3.2.1 Logarithm 3.2.2 Rounding 3.3 Communication 4. Graph Storage 5. Bellman-Ford Algorithm