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The attached program pulls real-time currency exchange rates from Yahoo finance and finds arbitrage cycles. Please note that the program is not intended for use in actual trading (the program ignores both the bid/ask spread and trading costs). The program uses the queue based Bellman-Ford algorithm to detect negative cycles. Fx rates are converted to logs to enable addition.
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application of the bellman ford shortest paths algorithm to find arbitrage cycles in currency exchange rates
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- Python 100.0%