Buy Low, Sell High

Koolen, Wouter M.; Vovk, Vladimir

doi:10.1007/978-3-642-34106-9_27

Buy Low, Sell High

Wouter M. Koolen, Vladimir Vovk

ALT 2012 pp. 335-349

doi:10.1007/978-3-642-34106-9_27 /alt/2012/koolen2012alt-buy/

Abstract

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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Text

Koolen and Vovk. "Buy Low, Sell High." International Conference on Algorithmic Learning Theory, 2012. doi:10.1007/978-3-642-34106-9_27

Markdown

[Koolen and Vovk. "Buy Low, Sell High." International Conference on Algorithmic Learning Theory, 2012.](https://mlanthology.org/alt/2012/koolen2012alt-buy/) doi:10.1007/978-3-642-34106-9_27

BibTeX

@inproceedings{koolen2012alt-buy,
  title     = {{Buy Low, Sell High}},
  author    = {Koolen, Wouter M. and Vovk, Vladimir},
  booktitle = {International Conference on Algorithmic Learning Theory},
  year      = {2012},
  pages     = {335-349},
  doi       = {10.1007/978-3-642-34106-9_27},
  url       = {https://mlanthology.org/alt/2012/koolen2012alt-buy/}
}