Industrial and Operations Research (IEOR) is an interdisciplinary field that leverages mathematical, statistical, and computational techniques to design, analyze, and optimize complex systems. In the context of the Simulation for Enterprise-Scale Systems course, the knowledge gained from IEOR can be applied to address a range of issues related to financial modeling, risk analysis, and decision- making within financial corporations. One area where simulation is particularly prevalent is in the financial markets, where price fluctuations can create significant arbitrage opportunities. The focus of this inquiry is on utilizing simulation systems to facilitate stock market trading, considering factors such as market noise, information asymmetry due to information lag, and other elements in order to optimize portfolio performance through arbitrage operations in the current market state.
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Pan et al. (2024) studied this question.
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