An integer programming based strategy for Asian-style futures arbitrage over the settlement period.
Raymond H. ChanKelvin K. KanAlfred K. MaPublished in: Algorithmic Finance (2018)
Keyphrases
- integer programming
- np hard
- linear programming
- constraint programming
- ai planning
- column generation
- production planning
- cutting plane algorithm
- cutting plane
- financial markets
- transportation problem
- set covering
- valid inequalities
- network flow
- set covering problem
- facility location
- inference problems
- integer program
- crew scheduling
- integer programming formulations
- dantzig wolfe decomposition
- genetic algorithm
- set partitioning
- stock price
- evolutionary algorithm