Online computation and competitive analysis
Online computation and competitive analysis
Competitive algorithms for VWAP and limit order trading
EC '04 Proceedings of the 5th ACM conference on Electronic commerce
(In)Stability properties of limit order dynamics
EC '06 Proceedings of the 7th ACM conference on Electronic commerce
Optimal algorithms for k-search with application in option pricing
ESA'07 Proceedings of the 15th annual European conference on Algorithms
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Completely automated electronic securities exchanges and algorithms for trading in these exchanges have become very important for modern finance. In [4], Kakade et al . introduced the limit order market model, which is a prevalent paradigm in electronic markets. In this paper, we consider both online and offline algorithms for maximizing revenue when selling in limit order markets. We first prove that the standard reservation price algorithm has an optimal competitive ratio for this problem. This ratio is not constant, and so we consider computing solutions offline. We show that the offline optimization problem is NP-hard, even for very restricted instances. We complement the hardness result by presenting an approximation scheme that runs in polynomial time for a wide class of instances.