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Competitive algorithms for VWAP and limit order trading
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Source Electronic Commerce archive
Proceedings of the 5th ACM conference on Electronic commerce table of contents
New York, NY, USA
SESSION: Session 7 table of contents
Pages: 189 - 198  
Year of Publication: 2004
ISBN:1-58113-711-0
Authors
Sham M. Kakade  University of Pennsylvania
Michael Kearns  University of Pennsylvania
Yishay Mansour  Tel Aviv University
Luis E. Ortiz  University of Pennsylvania
Sponsors
ACM: Association for Computing Machinery
SIGEcom: ACM Special Interest Group on Electronic Commerce
Publisher
ACM  New York, NY, USA
Bibliometrics
Downloads (6 Weeks): 4,   Downloads (12 Months): 55,   Citation Count: 4
Additional Information:

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ABSTRACT

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.


REFERENCES

Note: OCR errors may be found in this Reference List extracted from the full text article. ACM has opted to expose the complete List rather than only correct and linked references.

 
1
Baruch Awerbuch , Yair Bartal , Amos Fiat , Adi Rosén, Competitive non-preemptive call control, Proceedings of the fifth annual ACM-SIAM symposium on Discrete algorithms, p.312-320, January 23-25, 1994, Arlington, Virginia, United States
 
2
Allan Borodin , Ran El-Yaniv, Online computation and competitive analysis, Cambridge University Press, New York, NY, 1998
 
3
R. El-Yaniv, A. Fiat, R. M. Karp, and G. Turpin. Optimal search and one-way trading online algorithms. Algorithmica, 30:101--139, 2001.
 
4
M. Kearns and L. Ortiz. The Penn-Lehman automated trading project. IEEE Intelligent Systems, 2003. To appear.

CITED BY  4
Yuriy Nevmyvaka , Yi Feng , Michael Kearns, Reinforcement learning for optimized trade execution, Proceedings of the 23rd international conference on Machine learning, p.673-680, June 25-29, 2006, Pittsburgh, Pennsylvania
Eyal EvenDar , Sham M. Kakade , Michael Kearns , Yishay Mansour, (In)Stability properties of limit order dynamics, Proceedings of the 7th ACM conference on Electronic commerce, p.120-129, June 11-15, 2006, Ann Arbor, Michigan, USA
 
Sanmay Das, The effects of market-making on price dynamics, Proceedings of the 7th international joint conference on Autonomous agents and multiagent systems, May 12-16, 2008, Estoril, Portugal
Peter DeMarzo , Ilan Kremer , Yishay Mansour, Online trading algorithms and robust option pricing, Proceedings of the thirty-eighth annual ACM symposium on Theory of computing, May 21-23, 2006, Seattle, WA, USA

INDEX TERMS

Primary Classification:
  F. Theory of Computation
  F.2 ANALYSIS OF ALGORITHMS AND PROBLEM COMPLEXITY
      F.2.m Miscellaneous

Additional Classification:
  J. Computer Applications
  J.4 SOCIAL AND BEHAVIORAL SCIENCES
      Subjects: Economics


General Terms:
Algorithms, Economics


Keywords:
competitive analysis, online trading, vwap

Collaborative Colleagues:
Sham M. Kakade: colleagues
Michael Kearns: colleagues
Yishay Mansour: colleagues
Luis E. Ortiz: colleagues

Peer to Peer - Readers of this Article have also read:

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