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On-line versus off-line in money-making strategies with brokerage

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Book cover Algorithms and Computation (ISAAC 1997)

Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 1350))

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Abstract

We investigate on-line strategies for money-making trading with brokerage, while competitive algorithms without considering the costs of exchanging are investigated in [R.El-Yaniv, A.Fiat, R.Karp, and G.Turpin, Proc. of FOCS, (1992) ].

We first give the optimal off-line algorithm for the (bidirectional) con version problem with brokerage. Next, we design an on-line algorithm, which is a combination of the EFKT-algorithm with our decided off-line algorithm. Furthermore, we analyze the competitive performance of our proposed on-line algorithm, and discuss lower bounds of the competitive ratio for the problem with brokerage.

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References

  1. T.M.Cover. UNIVERSAL PORTFORIOS, In Journal of Mathematical Finance, Vol.1, No.1, pagesl–29, January 1991.

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  3. Ran El-Yaniv and Richard M.Karp. The Mortgage Problem. Proceedings of the 2nd Israel Symposium on Theory and Computing Systems, 1993.

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Author information

Authors and Affiliations

  1. Dept. of Computer Science and Communication Engineering, Kyushu University, 6-10-1, Hakozaki, Higashi-ku, 812-81, Fukuoka, Japan

    Eisuke Dannoura & Kouichi Sakurai

Authors
  1. Eisuke Dannoura
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  2. Kouichi Sakurai
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Hon Wai Leong Hiroshi Imai Sanjay Jain

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© 1997 Springer-Verlag Berlin Heidelberg

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Dannoura, E., Sakurai, K. (1997). On-line versus off-line in money-making strategies with brokerage. In: Leong, H.W., Imai, H., Jain, S. (eds) Algorithms and Computation. ISAAC 1997. Lecture Notes in Computer Science, vol 1350. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-63890-3_20

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  • DOI: https://doi.org/10.1007/3-540-63890-3_20

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-63890-2

  • Online ISBN: 978-3-540-69662-9

  • eBook Packages: Springer Book Archive

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