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

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

Research output: Contribution to journal › Article › peer-review

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

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

Research output: Contribution to journal › Article › peer-review

Harvard

Koolen, W & Vovk, V 2014, 'Buy low, sell high', Theoretical Computer Science, vol. 558, pp. 144-158.

APA

Koolen, W., & Vovk, V. (2014). Buy low, sell high. Theoretical Computer Science, 558, 144-158.

Vancouver

Koolen W , Vovk V. Buy low, sell high. Theoretical Computer Science. 2014;558:144-158.

Author

Koolen, Wouter ; Vovk, Vladimir. / Buy low, sell high. In: Theoretical Computer Science. 2014 ; Vol. 558. pp. 144-158.

BibTeX

@article{e0560a73b6f440138ee2ba0dc8c48a0c,

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.",

author = "Wouter Koolen and Vladimir Vovk",

year = "2014",

language = "English",

volume = "558",

pages = "144--158",

journal = "Theoretical Computer Science",

issn = "0304-3975",

publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Buy low, sell high

AU - Koolen, Wouter

AU - Vovk, Vladimir

PY - 2014

Y1 - 2014

N2 - 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.

AB - 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.

M3 - Article

VL - 558

SP - 144

EP - 158

JO - Theoretical Computer Science

JF - Theoretical Computer Science

SN - 0304-3975

ER -