DocumentCode
2610005
Title
Currency arbitrage detection using a binary integer programming model
Author
Soon, Wanmei ; Ye, Heng-Qing
Author_Institution
Nanyang Technol. Univ., Singapore
fYear
2007
fDate
2-4 Dec. 2007
Firstpage
867
Lastpage
870
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/IEEM.2007.4419314
Filename
4419314
Link To Document