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Please use this identifier to cite or link to this item: https://doi.org/10.1109/IEEM.2007.4419314
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dc.titleCurrency arbitrage detection using a binary integer programming model
dc.contributor.authorSoon, W.
dc.contributor.authorYe, H.-Q.
dc.date.accessioned2013-10-09T03:27:33Z
dc.date.available2013-10-09T03:27:33Z
dc.date.issued2007
dc.identifier.citationSoon, W., Ye, H.-Q. (2007). Currency arbitrage detection using a binary integer programming model. IEEM 2007: 2007 IEEE International Conference on Industrial Engineering and Engineering Management : 867-870. ScholarBank@NUS Repository. https://doi.org/10.1109/IEEM.2007.4419314
dc.identifier.isbn1424415292
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/44127
dc.description.abstractWe 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. © 2007 IEEE.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1109/IEEM.2007.4419314
dc.sourceScopus
dc.subjectBinary integer programming
dc.subjectCurrency arbitrage detection
dc.subjectNetwork simplex method
dc.typeConference Paper
dc.contributor.departmentDECISION SCIENCES
dc.description.doi10.1109/IEEM.2007.4419314
dc.description.sourcetitleIEEM 2007: 2007 IEEE International Conference on Industrial Engineering and Engineering Management
dc.description.page867-870
dc.identifier.isiut000253974000176
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