The Application of Operations Research Techniques to Financial Markets

Abstract

This paper reviews the application of OR to financial markets. After considering reasons for the attractiveness of general finance problems to OR researchers, the main types of financial market problem amendable to OR are identified, and some of the many problems solved using OR are documented. While mathematical programming is the most widely applied technique, Monte Carlo and other simulation methods are increasingly widely used. OR now plays an important role in the operation of financial markets and this importance is likely to increase, creating the opportunity for OR (and operation researchers) to play an even greater role.