Cross-Asset Arbitrage Engine with Transformer Models
This sophisticated arbitrage engine leverages transformer models for price forecasting across multiple asset classes:
- Crypto Spot/Futures: BTC, ETH, SOL and perpetual futures
- Foreign Exchange: Major currency pairs
- Equity ETFs: SPY, QQQ, IWM and international markets
Features:
- Transformer Price Prediction: Numerical-adapted transformers for multi-horizon forecasting
- Cross-Venue Execution: Simulates CEX (Binance, Coinbase) and DEX (Uniswap V3) integration
- LLM Strategy Optimization: Dynamic parameter adjustment based on performance
- Latency-Aware Execution: Realistic order routing with slippage simulation
- Comprehensive Risk Analytics: Real-time VaR, Sharpe ratio, and drawdown monitoring
Author: Spencer Purdy
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Recent Arbitrage Opportunities
Examples
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