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Arbitrage Detection Using AHP and LMI Algorithms

Authors: Reza Habibi

DOI : 10.18639/MERJ.2018.04.653192

Section : Original Research Article

Published Date : May 17, 2018

Abstract

In this paper, the arbitrage opportunities in a foreign exchange market are detected using analytic hierarchy process and linear matrix inequality methods. For this purpose, first, criteria are proposed to detect the direct, triangular, quadrangular, and other types of arbitrage suspect existing in a foreign exchange market. Subsequently, the optimal arbitrage paths are given. Some simulated examples are given. A real data set is analyzed as well. Finally, a conclusion section is given.


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