PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Switching investments
Wouter Koolen and Steven de Rooij
In: The 21st International Conference on Algorithmic Learning Theory, Canberra(2010).


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, un- conditional 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 frame- work, and has applications in data compression and hypothesis testing.

EPrint Type:Conference or Workshop Item (Paper)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
ID Code:7273
Deposited By:Wouter Koolen
Deposited On:16 March 2011