Currency arbitrage detection using a binary integer programming model

DOI10.1080/0020739X.2010.526248MaRDI QIDQ3018462zbMATH OpenOpenAlexWikidataFDO

Authors Wanmei Soon, Heng-Qing Ye

Publication date 27 July 2011

Published in International Journal of Mathematical Education in Science and Technology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/0020739x.2010.526248

zbMATH Keywords

binary integer programmingarbitrage detection

Mathematics Subject Classification ID

Integer programming (90C10) Financial applications of other theories (91G80) Financial and insurance mathematics (aspects of mathematics education) (97M30) Mathematical programming (educational aspects) (97N60)

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Cites work

• Combinatorial Algorithms for the Generalized Circulation Problem

Cited in

(1)

• Neural networks can detect model-free static arbitrage strategies

Describes a project that uses

Uses Software

• LPbook

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