Competitive algorithms for VWAP and limit order trading

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Competitive algorithms for VWAP and limit order trading

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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): 8, Downloads (12 Months): 66, Citation Count: 4

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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

	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
	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
	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
	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