Electronic Proceedings of the 12th Asian Technology Conference in Mathematics
Abstract for 12961
Application of network simplex method to currency arbitrage
Authors: Wan Mei, Amanda Soon
Affiliations: Mathematics and Mathematics Education Academic Group,
National Institute of Education, Nanyang Technological University
Keywords: Undergraduate Level, binary integer programming, network
simplex method, currency arbitrage detection.
In this paper, we use a binary integer programming
model to detect currency arbitrages. This problem has a special
structure, which allows us to apply the network simplex algorithm.
Using matlab, a program modelled on this algorithm was constructed
to detect currency arbitrages involving numerous pairs of exchange