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Switching Investments

  • Wouter M. Koolen
  • Steven de Rooij
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 6331)

Abstract

We present a simple online two-way trading algorithm that exploits fluctuations in the unit price of an asset. Rather than analysing worst-case performance under some assumptions, we prove a novel, unconditional performance bound that is parameterised either by the actual dynamics of the price of the asset, or by a simplifying model thereof. The algorithm processes T prices in O(T 2) time and O(T) space, but if the employed prior density is exponential, the time requirement reduces to O(T). The result translates to the prediction with expert advice framework, and has applications in data compression and hypothesis testing.

Keywords

Asset Price Online Algorithm Local Extremum Bank Account Expert Advice 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  • Wouter M. Koolen
    • 1
  • Steven de Rooij
    • 2
  1. 1.Centrum Wiskunde en Informatica (CWI)GB Amsterdam
  2. 2.DPMMSStatistical LaboratoryCambridgeUK

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