Mathematical models for arbitrage planning (Q1286299)

The development of securities markets in Ukraine necessitates mathematical analysis of problems linked with currency and securities exchange operations, as well as commercial transactions that involve simultaneous buying and selling of securities, currency, or futures contract on different exchanges with the purpose of making a profit from price differences. Transactions of this kind are called arbitrage. These problems are of considerable interest for both financiers and mathematicians. For financiers they present an opportunity for quick enrichment; for mathematicians they are intriguing because they are different from the standard problems of economic analysis, which are successfully solved by traditional optimization methods. In the literature, however, these problems are represented by simplified schemes that are far from reality. This gap has provided the motivation for our article. We consider mathematical models of transaction planning that enable an arbitrageur to develop optimal decisions by one of several possible criteria.