Online computation and competitive analysis
Online computation and competitive analysis
Competitive non-preemptive call control
SODA '94 Proceedings of the fifth annual ACM-SIAM symposium on Discrete algorithms
The Penn-Lehman Automated Trading Project
IEEE Intelligent Systems
Online trading algorithms and robust option pricing
Proceedings of the thirty-eighth annual ACM symposium on Theory of computing
(In)Stability properties of limit order dynamics
EC '06 Proceedings of the 7th ACM conference on Electronic commerce
Reinforcement learning for optimized trade execution
ICML '06 Proceedings of the 23rd international conference on Machine learning
The effects of market-making on price dynamics
Proceedings of the 7th international joint conference on Autonomous agents and multiagent systems - Volume 2
Online and Offline Selling in Limit Order Markets
WINE '08 Proceedings of the 4th International Workshop on Internet and Network Economics
Optimal algorithms for the online time series search problem
Theoretical Computer Science
Algorithmic trading strategy optimization based on mutual information entropy based clustering
ISICA'10 Proceedings of the 5th international conference on Advances in computation and intelligence
Online algorithms for the general k-search problem
Information Processing Letters
Online algorithms for the multiple time series search problem
Computers and Operations Research
Regret minimization algorithms for pricing lookback options
ALT'11 Proceedings of the 22nd international conference on Algorithmic learning theory
Optimal algorithms for online time series search and one-way trading with interrelated prices
Journal of Combinatorial Optimization
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We introduce new online models for two important aspectsof modern financial markets: Volume Weighted Average Pricetrading and limit order books. We provide an extensivestudy of competitive algorithms in these models and relatethem to earlier online algorithms for stock trading.