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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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    Abstract

    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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    ID Code: 45709
    Item Type: Conference Paper
    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: 06 Sep 2011 08:40
    Last Modified: 08 Sep 2011 17:30

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