IEEE - Institute of Electrical and Electronics Engineers, Inc. - Currency arbitrage detection using a binary integer programming model

2007 IEEE International Conference on Industrial Engineering and Engineering Management

Author(s): Wanmei Soon ; Heng-Qing Ye
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 December 2007
Conference Location: Singapore, Singapore
Conference Date: 2 December 2007
Page(s): 867 - 870
ISBN (CD): 978-1-4244-1529-8
ISBN (Paper): 978-1-4244-1528-1
DOI: 10.1109/IEEM.2007.4419314
Regular:

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,... View More

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