Empirical Analysis of an Online Algorithm for Multiple Trading Problems
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- Mohr E., Schmidt G. (2008) Empirical Analysis of an Online Algorithm for Multiple Trading Problems. In: Le Thi H.A., Bouvry P., Pham Dinh T. (eds) Modelling, Computation and Optimization in Information Systems and Management Sciences. Communications in Computer and Information Science, vol 14. Springer, Berlin, Heidelberg
If we trade in financial markets we are interested in buying at low and selling at high prices. We suggest an active trading algorithm which tries to solve this type of problem. The algorithm is based on reservation prices. The effectiveness of the algorithm is analyzed from a worst case and an average case point of view. We want to give an answer to the questions if the suggested active trading algorithm shows a superior behaviour to buy-and-hold policies. We also calculate the average competitive performance of our algorithm using simulation on historical data.
Keywordsonline algorithms average case analysis stock trading trading rules performance analysis competitive analysis trading problem empirical analysis
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