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

Proceedings of the Twenty Third International Conference on Algorithmic Learning Theory. ed. / Nader Bshouty; Gilles Stoltz; Nicolas Vayatis; Thomas Zeugmann. Vol. 7568 Berlin : Springer, 2012. p. 335 - 349 (Lecture Notes in Artificial Intelligence).

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

Forthcoming

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
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
PublisherSpringer
Pages335 - 349
Number of pages15
Volume7568
Publication statusAccepted/In press - 2012

Publication series

NameLecture Notes in Artificial Intelligence
PublisherSpringer

ID: 6365258