Optimal allocation strategies for the dark pool problem

Agarwal, Alekh , Bartlett, Peter L., & Dama, Max (2010) Optimal allocation strategies for the dark pool problem. In Teh, Yee Whye & Titterington, Mike (Eds.) Proceedings of the Thirteenth International Conference on Artificial Intelligence and Statistics, Chia Laguna Resort, Sardinia, Italy, pp. 9-16.

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We study the problem of allocating stocks to dark pools. We propose and analyze an optimal approach for allocations, if continuous-valued allocations are allowed. We also propose a modification for the case when only integer-valued allocations are possible. We extend the previous work on this problem to adversarial scenarios, while also improving on their results in the iid setup. The resulting algorithms are efficient, and perform well in simulations under stochastic and adversarial inputs.

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2 citations in Scopus
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ID Code: 45709
Item Type: Conference Paper
Refereed: Yes
Additional URLs:
Keywords: allocating stocks, dark pools, integer-valued allocations
Subjects: Australian and New Zealand Standard Research Classification > INFORMATION AND COMPUTING SCIENCES (080000) > ARTIFICIAL INTELLIGENCE AND IMAGE PROCESSING (080100)
Divisions: Past > QUT Faculties & Divisions > Faculty of Science and Technology
Past > Schools > Mathematical Sciences
Copyright Owner: Copyright 2010 [please consult the authors]
Deposited On: 05 Sep 2011 22:40
Last Modified: 08 Sep 2011 07:30

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