Electronic Proceedings of the 12^th Asian Technology Conference in Mathematics

Abstract for 12961

Application of network simplex method to currency arbitrage

detection

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

rates.