Title :
Currency arbitrage detection using a binary integer programming model
Author :
Soon, Wanmei ; Ye, Heng-Qing
Author_Institution :
Nanyang Technol. Univ., Singapore
Abstract :
We introduce a binary integer programming model to detect arbitrage opportunities in currency exchanges. A network simplex method has been introduced to solve the model efficiently. Moreover, through sensitivity analysis, the solution to our model can be updated quickly to detect new arbitrage opportunities when the exchange rates change in real-time.
Keywords :
exchange rates; integer programming; arbitrage opportunities; binary integer programming; currency arbitrage detection; currency exchange rate; network simplex method; sensitivity analysis; Algebra; Companies; Decision making; Educational programs; Educational technology; Exchange rates; Linear programming; Mathematical model; Mathematics; Sensitivity analysis; binary integer programming; currency arbitrage detection; network simplex method;
Conference_Titel :
Industrial Engineering and Engineering Management, 2007 IEEE International Conference on
Conference_Location :
Singapore
Print_ISBN :
978-1-4244-1529-8
Electronic_ISBN :
978-1-4244-1529-8
DOI :
10.1109/IEEM.2007.4419314
