- 期刊
貨幣套利即時系統之設計與開發
The Design and Development of a Real-Time Currency Arbitrage System
摘要
世界上各個國家所使用的貨幣不同，為了進行貿易交易會在貨幣之間制定交換的匯率。由於每個國家所面對的經濟壓力不同，匯率也會隨時變動，又因市場、時間、資訊等因素使得貨幣在不同市場上的價值會產生差額，而這個差額就可能產生套利的空間。許多學者提出貨幣套利相關的理論，也透過不同的求解方式計算出貨幣套利的機會。由於貨幣套利牽涉到多種貨幣和不同市場的限制，是一個複雜的交易操作，許多方法無法有效率的求解此問題。本研究開發一套貨幣套利即時系統，即時下載匯率資訊並自動建構貨幣套利最佳化數學模型，再利用數學規劃軟體求得套利的最佳解，協助使用者找出最佳的換匯操作以進行套利。當今跨國企業非常多，其財務管理相當重視匯率風險，此研究所開發的系統將可以提供跨國企業與銀行在外匯操作上的建議。
並列摘要
Because different nations use different currencies, the currency exchange rate between each pair of countries is set for international trade. The exchange rate is constantly changing due to different economic pressures faced by each country. If the factors of market, time, and information result in the differentials in the price of a currency in various markets, an arbitrage opportunity may exist. Many researchers have proposed different theories to exploit the arbitrage opportunity. Since currency arbitrage is a complex trading operation that involves many currencies and restrictions in different markets, many approaches cannot efficiently solve the problem. This study develops a real-time system of currency arbitrage. The developed system downloads the real-time exchange rate and constructs the mathematical programming model of the currency arbitrage optimization problem automatically. Then the mathematical programming software is utilized to solve the constructed model for obtaining the globally optimal solution. Since many multinational enterprises need to manage the exchange rate risk, the developed system can provide recommendations for multinational enterprises and banks in foreign exchange operations.