Competitive algorithms for VWAP and limit order trading

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

*Corresponding author for this work

Research output: Contribution to conferencePaperpeer-review

47 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 languageEnglish
Pages189-198
Number of pages10
DOIs
StatePublished - 2004
EventProceedings of the 5th ACM Conference on Electronic Commerce,EC'04 - New York, NY, United States
Duration: 17 May 200420 May 2004

Conference

ConferenceProceedings of the 5th ACM Conference on Electronic Commerce,EC'04
Country/TerritoryUnited States
CityNew York, NY
Period17/05/0420/05/04

Keywords

  • Competitive Analysis
  • Online Trading
  • VWAP

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