Buy low, sell high

Authors:
Wouter M. Koolen;Vladimir Vovk
Affiliations:
Computer Learning Research Centre, Department of Computer Science, Royal Holloway, University of London, Surrey, United Kingdom;Computer Learning Research Centre, Department of Computer Science, Royal Holloway, University of London, Surrey, United Kingdom
Venue:
ALT'12 Proceedings of the 23rd international conference on Algorithmic Learning Theory
Year:
2012

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Abstract

We consider online trading in a single security with the objective of getting rich when its price ever exhibits a large upcrossing without risking bankruptcy. We investigate payoff guarantees that are expressed in terms of the extremity of the upcrossings. We obtain an exact and elegant characterisation of the guarantees that can be achieved. Moreover, we derive a simple canonical strategy for each attainable guarantee.