A MATHEMATICAL STUDY OF ARBITRAGE

Abstract

This paper is a systematic study of the mathematical structure underlying nearly perfect exchange markets which are spatially or temporally separated. The principal questions investigated are 'what are equilibrium conditions for a set of exchange rates' and 'How can arbitrage possibilities be discovered, if they exist.' The analysis involves the combined use of an algebraic representation, which is conducive to the derivation of qualitative features characterizing a multi-exchange market; and two linear programming models, one of which has use in establishing a desirable set of equilibrium exchange rates, and the other of which has a special form permitting an efficient computational scheme for discovering arbitrage possibilities.

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Document Details

Document Type
Technical Report
Publication Date
Sep 02, 1958
Accession Number
AD0607020

Entities

People

  • Harvey M. Wagner
  • Jeremy J. Stone

Organizations

  • RAND Corporation

Tags

Communities of Interest

  • Energy and Power Technologies

DTIC Thesaurus Topics

  • Algorithms
  • Commerce
  • Commodities
  • Computations
  • Computer Programming
  • Construction
  • Dynamic Programming
  • Equations
  • Integer Programming
  • International Trade
  • Linear Programming
  • Money
  • New York
  • Operations Research
  • Triangles
  • United States

Readers

  • Agent-Based Social Robotics and Mobile-Assisted Learning in Virtual Environments.
  • Calculus or Mathematical Analysis