Buy low, sell high. / Koolen, Wouter; Vovk, Vladimir.

In: Theoretical Computer Science, Vol. 558, 2014, p. 144-158.

Research output: Contribution to journalArticle

Published

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.
Original languageEnglish
Pages (from-to)144-158
Number of pages15
JournalTheoretical Computer Science
Volume558
Publication statusPublished - 2014

ID: 23255672