Online one-way trading problem with limited opportunities based on competitive difference analysis

被引：0

作者：

Wang W. ^{[1
]}

Lan Y. ^{[2
]}

机构：

[1] Business School, Nankai University, Tianjin

[2] HSBC Business School, Peking University, Shenzhen

来源：

| 2021年 / Systems Engineering Society of China卷 / 41期

基金：

中国国家自然科学基金;

关键词：

Game theory; Limited information; Limited trading opportunities; One-way trading problems; Savage's regret criterion;

D O I：

10.12011/SETP2020-0155

中图分类号：

学科分类号：

摘要：

This paper examines the one-way trading problem with limited trading opportunities and limited information about future prices (i.e., price range), and constructs the mathematical model via the method of competitive difference analysis. It obtains the optimal robust online trading policy, analyzes the properties of this online policy, and determines the performance guarantee of this online policy relative to the optimal offline policy, i.e., the minimal competitive difference. In addition, this paper points out all the possible worst-case scenarios for the trader. This research can not only guide the one-way trading behavior in reality when the trader needs to control transaction costs by limiting transactions, but also provide a uniform mathematical framework that connects the well-studied time series search problem and the one-way trading problem with unlimited opportunities. This unified framework facilitates the comparison between these different types of problems, enriches the conclusions of existing literatures, and lays the foundation for future researches on more complicated one-way trading problems. © 2021, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.

引用

页码：2476 / 2487

页数：11

共 24 条

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