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.See also: 2004