@inbook{ee88ebef27f74aa6a62a54688181971c,
title = "Buy low, sell high",
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.",
keywords = "online investment, worst-case analysis, probability-free option pricing",
author = "Wouter Koolen and Vladimir Vovk",
year = "2012",
language = "English",
volume = "7568",
series = "Lecture Notes in Artificial Intelligence",
publisher = "Springer",
pages = "335 -- 349",
editor = "Nader Bshouty and Gilles Stoltz and Nicolas Vayatis and Thomas Zeugmann",
booktitle = "Proceedings of the Twenty Third International Conference on Algorithmic Learning Theory",
}