Competitive algorithms for VWAP and limit order trading

Sham M. Kakade; Michael Kearns; Yishay Mansour; Luis E. Ortiz

doi:10.1145/988772.988801

Competitive algorithms for VWAP and limit order trading

Sham M. Kakade^*, Michael Kearns, Yishay Mansour, Luis E. Ortiz

^*Corresponding author for this work

School of Computer Science

University of Pennsylvania

Research output: Contribution to conference › Paper › peer-review

50 Scopus citations

Abstract

We introduce new online models for two important aspects of modern financial markets: Volume Weighted Average Price trading and limit order books. We provide an extensive study of competitive algorithms in these models and relate them to earlier online algorithms for stock trading.

Original language	English
Pages	189-198
Number of pages	10
DOIs	https://doi.org/10.1145/988772.988801
State	Published - 2004
Event	Proceedings of the 5th ACM Conference on Electronic Commerce,EC'04 - New York, NY, United States Duration: 17 May 2004 → 20 May 2004

Conference

Conference	Proceedings of the 5th ACM Conference on Electronic Commerce,EC'04
Country/Territory	United States
City	New York, NY
Period	17/05/04 → 20/05/04

Keywords

Competitive Analysis
Online Trading
VWAP

Access to Document

10.1145/988772.988801

Cite this

@conference{9c20a17d67794a02b2b649e841747c69,

title = "Competitive algorithms for VWAP and limit order trading",

abstract = "We introduce new online models for two important aspects of modern financial markets: Volume Weighted Average Price trading and limit order books. We provide an extensive study of competitive algorithms in these models and relate them to earlier online algorithms for stock trading.",

keywords = "Competitive Analysis, Online Trading, VWAP",

author = "Kakade, {Sham M.} and Michael Kearns and Yishay Mansour and Ortiz, {Luis E.}",

year = "2004",

doi = "10.1145/988772.988801",

language = "אנגלית",

pages = "189--198",

note = "Proceedings of the 5th ACM Conference on Electronic Commerce,EC'04 ; Conference date: 17-05-2004 Through 20-05-2004",

}

TY - CONF

T1 - Competitive algorithms for VWAP and limit order trading

AU - Kakade, Sham M.

AU - Kearns, Michael

AU - Mansour, Yishay

AU - Ortiz, Luis E.

PY - 2004

Y1 - 2004

N2 - We introduce new online models for two important aspects of modern financial markets: Volume Weighted Average Price trading and limit order books. We provide an extensive study of competitive algorithms in these models and relate them to earlier online algorithms for stock trading.

AB - We introduce new online models for two important aspects of modern financial markets: Volume Weighted Average Price trading and limit order books. We provide an extensive study of competitive algorithms in these models and relate them to earlier online algorithms for stock trading.

KW - Competitive Analysis

KW - Online Trading

KW - VWAP

UR - http://www.scopus.com/inward/record.url?scp=3242784818&partnerID=8YFLogxK

U2 - 10.1145/988772.988801

DO - 10.1145/988772.988801

M3 - ???researchoutput.researchoutputtypes.contributiontoconference.paper???

AN - SCOPUS:3242784818

SP - 189

EP - 198

T2 - Proceedings of the 5th ACM Conference on Electronic Commerce,EC'04

Y2 - 17 May 2004 through 20 May 2004

ER -

Competitive algorithms for VWAP and limit order trading

Abstract

Conference

Keywords

Access to Document

Other files and links

Fingerprint

Cite this