Currency arbitrage detection using a binary integer programming model

Wanmei Soon, Hengqing Ye

Research output: Chapter in book / Conference proceedingConference article published in proceeding or bookAcademic researchpeer-review

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.
Original languageEnglish
Title of host publicationIEEM 2007
Subtitle of host publication2007 IEEE International Conference on Industrial Engineering and Engineering Management
Pages867-870
Number of pages4
DOIs
Publication statusPublished - 1 Dec 2007
Event2007 IEEE International Conference on Industrial Engineering and Engineering Management, IEEM 2007 - , Singapore
Duration: 2 Dec 20074 Dec 2007

Conference

Conference2007 IEEE International Conference on Industrial Engineering and Engineering Management, IEEM 2007
Country/TerritorySingapore
Period2/12/074/12/07

Keywords

  • Binary integer programming
  • Currency arbitrage detection
  • Network simplex method

ASJC Scopus subject areas

  • Strategy and Management
  • Industrial and Manufacturing Engineering

Cite this