Buy low, sell high

Wouter Koolen, Vladimir Vovk

Research output: Chapter in Book/Report/Conference proceedingConference contribution


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.
Original languageEnglish
Title of host publicationProceedings of the Twenty Third International Conference on Algorithmic Learning Theory
EditorsNader Bshouty, Gilles Stoltz, Nicolas Vayatis, Thomas Zeugmann
Place of PublicationBerlin
Pages335 - 349
Number of pages15
Publication statusAccepted/In press - 2012

Publication series

NameLecture Notes in Artificial Intelligence


  • online investment
  • worst-case analysis
  • probability-free option pricing

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