Sham M. Kakade, Michael Kearns, Yishay Mansour, Luis E. Ortiz
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.
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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.
Key concepts: Volume-weighted average price, Algorithmic trading, Order book, Competitive analysis, Computer science, Order (exchange), Limit (mathematics), Algorithm