Currency arbitrage detection using a binary integer programming model

Wanmei Soon; Hengqing Ye

doi:10.1109/IEEM.2007.4419314

Currency arbitrage detection using a binary integer programming model

Research output: Chapter in book / Conference proceeding › Conference article published in proceeding or book › Academic research › peer-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 language	English
Title of host publication	IEEM 2007
Subtitle of host publication	2007 IEEE International Conference on Industrial Engineering and Engineering Management
Pages	867-870
Number of pages	4
DOIs	https://doi.org/10.1109/IEEM.2007.4419314
Publication status	Published - 1 Dec 2007
Event	2007 IEEE International Conference on Industrial Engineering and Engineering Management, IEEM 2007 - , Singapore Duration: 2 Dec 2007 → 4 Dec 2007

Conference

Conference	2007 IEEE International Conference on Industrial Engineering and Engineering Management, IEEM 2007
Country/Territory	Singapore
Period	2/12/07 → 4/12/07

Keywords

Binary integer programming
Currency arbitrage detection
Network simplex method

ASJC Scopus subject areas

Strategy and Management
Industrial and Manufacturing Engineering

More information

10.1109/IEEM.2007.4419314

Cite this

@inproceedings{08afa915ffaf4b699c63541df7f8c694,

title = "Currency arbitrage detection using a binary integer programming model",

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 = "Binary integer programming, Currency arbitrage detection, Network simplex method",

author = "Wanmei Soon and Hengqing Ye",

year = "2007",

month = dec,

day = "1",

doi = "10.1109/IEEM.2007.4419314",

language = "English",

isbn = "1424415292",

pages = "867--870",

booktitle = "IEEM 2007",

note = "2007 IEEE International Conference on Industrial Engineering and Engineering Management, IEEM 2007 ; Conference date: 02-12-2007 Through 04-12-2007",

}

Soon, W & Ye, H 2007, Currency arbitrage detection using a binary integer programming model. in IEEM 2007: 2007 IEEE International Conference on Industrial Engineering and Engineering Management., 4419314, pp. 867-870, 2007 IEEE International Conference on Industrial Engineering and Engineering Management, IEEM 2007, Singapore, 2/12/07. https://doi.org/10.1109/IEEM.2007.4419314

Currency arbitrage detection using a binary integer programming model. / Soon, Wanmei; Ye, Hengqing.
IEEM 2007: 2007 IEEE International Conference on Industrial Engineering and Engineering Management. 2007. p. 867-870 4419314.

Research output: Chapter in book / Conference proceeding › Conference article published in proceeding or book › Academic research › peer-review

TY - GEN

T1 - Currency arbitrage detection using a binary integer programming model

AU - Soon, Wanmei

AU - Ye, Hengqing

PY - 2007/12/1

Y1 - 2007/12/1

N2 - 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.

AB - 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.

KW - Binary integer programming

KW - Currency arbitrage detection

KW - Network simplex method

UR - http://www.scopus.com/inward/record.url?scp=40649122043&partnerID=8YFLogxK

U2 - 10.1109/IEEM.2007.4419314

DO - 10.1109/IEEM.2007.4419314

M3 - Conference article published in proceeding or book

SN - 1424415292

SN - 9781424415298

SP - 867

EP - 870

BT - IEEM 2007

T2 - 2007 IEEE International Conference on Industrial Engineering and Engineering Management, IEEM 2007

Y2 - 2 December 2007 through 4 December 2007

ER -

Currency arbitrage detection using a binary integer programming model

Abstract

Conference

Keywords

ASJC Scopus subject areas

More information

Other files and links

Fingerprint

Cite this