Buy low, sell high

Koolen, Wouter M. & Vovk, Vladimir (2014) Buy low, sell high. Theoretical Computer Science, 558, pp. 144-158.

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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.

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ID Code: 82485
Item Type: Journal Article
Refereed: Yes
Additional Information: The special issue on Algorithmic Learning Theory for ALT 2012
Keywords: Online investment; Worst-case analysis; Probability-free option pricing
DOI: 10.1016/j.tcs.2014.09.030
ISSN: 0304-3975
Divisions: Current > QUT Faculties and Divisions > Science & Engineering Faculty
Past > Schools > Mathematical Sciences
Copyright Owner: Copyright 2014 Elsevier B.V.
Copyright Statement: NOTICE: this is the author’s version of a work that was accepted for publication in Theoretical Computer Science. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Theoretical Computer Science, Volume 558, (13 November 2014), DOI: 10.1016/j.tcs.2014.09.030
Deposited On: 12 Mar 2015 22:31
Last Modified: 25 Nov 2016 03:31

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