Competitive analysis of financial games

R. El-Yaniv, A. Fiat, R. Karp, G. Turpin

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

In the unidirectional conversion problem an on-line player is given the task of converting dollars to yen over some period of time. Each day, a new exchange rate is announced and the player must decide how many dollars to convert. His goal is to minimize the competitive ratio. defined as supE (POPT(E)/PXE) where E ranges over exchange rate sequences. POPT(E) is the number of yen obtained by an optimal off-line algorithm, and Px(E) is the number of yen obtained by the on-line algorithm X. The authors also consider a continuous version of the problem. in which the exchange rate varies over a continuous time interval. The on-line line players a priori information about the fluctuation of exchange rates distinguishes different variants of the problem. For three variants they show that a simple threat-based strategy is optimal for the on-line player and determine its competitive ratio. They also derive and analyze an optimal policy for the on-line player when he knows the probability distribution of the maximum value that the exchange rate will reach. Finally, they consider a bidirectional conversion problem, which the player may trade dollars for yen or yen for dollars.

Original languageEnglish
Title of host publicationProceedings - 33rd Annual Symposium on Foundations of Computer Science, FOCS 1992
PublisherIEEE Computer Society
Pages327-333
Number of pages7
ISBN (Electronic)0818629002
DOIs
StatePublished - 1992
Event33rd Annual Symposium on Foundations of Computer Science, FOCS 1992 - Pittsburgh, United States
Duration: 24 Oct 199227 Oct 1992

Publication series

NameProceedings - Annual IEEE Symposium on Foundations of Computer Science, FOCS
Volume1992-October
ISSN (Print)0272-5428

Conference

Conference33rd Annual Symposium on Foundations of Computer Science, FOCS 1992
Country/TerritoryUnited States
CityPittsburgh
Period24/10/9227/10/92

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