__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.

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