Competitive Algorithms for VWAP and Limit Order Trading

Citation:

S. Kakade, M. Kearns, Y. Mansour, and L. Ortiz, Competitive Algorithms for VWAP and Limit Order Trading. Proceedings of the ACM Electronic Commerce Conference: , 2004.

Abstract:

We introduce new online models for two important aspectsof modern financial markets: Volume Weighted Average Pricetrading and limit order books. We provide an extensivestudy of competitive algorithms in these models and relatethem to earlier online algorithms for stock trading.

Publisher's Version

See also: 2004
Last updated on 10/15/2021