[saosebastiao]

While this is true and is efficient in the computational complexity sense, I’ve found in practice it is easier, faster, and qualitatively better to set the problem up as a simple LP. Qualitatively better in the sense that the LP tells you the potential magnitude of the arbitrage cycle, not just its existence, and faster in the sense of actual computed latency.

While transaction costs are easy to model in LPs, transaction clearing times are much harder. To the point where most opportunities are better described as phantasma.