Elements of information theory
Elements of information theory
A game of prediction with expert advice
Journal of Computer and System Sciences - Special issue on the eighth annual workshop on computational learning theory, July 5–8, 1995
An improvement on El-Yaniv-Fiat-Karp-Turpin's money-making bi-directional trading strategy
Information Processing Letters
Machine Learning - Special issue on context sensitivity and concept drift
Optimal buy-and-hold strategies for financial markets with bounded daily returns
STOC '99 Proceedings of the thirty-first annual ACM symposium on Theory of computing
Switching Between Two Universal Source Coding Algorithms
DCC '98 Proceedings of the Conference on Data Compression
Online trading algorithms and robust option pricing
Proceedings of the thirty-eighth annual ACM symposium on Theory of computing
ALT'12 Proceedings of the 23rd international conference on Algorithmic Learning Theory
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We present a simple online two-way trading algorithm that exploits fluctuations in the unit price of an asset. Rather than analysing worst-case performance under some assumptions, we prove a novel, unconditional performance bound that is parameterised either by the actual dynamics of the price of the asset, or by a simplifying model thereof. The algorithm processes T prices in O(T2) time and O(T) space, but if the employed prior density is exponential, the time requirement reduces to O(T). The result translates to the prediction with expert advice framework, and has applications in data compression and hypothesis testing.