Buy low, sell high
| Data(s) |
13/11/2014
|
|---|---|
| Resumo |
We consider online trading in a single security with the objective of getting rich when its price ever exhibits a large upcrossing, without risking bankruptcy. We investigate payoff guarantees that are expressed in terms of the extremity of the upcrossings. We obtain an exact and elegant characterisation of the guarantees that can be achieved. Moreover, we derive a simple canonical strategy for each attainable guarantee. |
| Formato |
application/pdf |
| Identificador | |
| Publicador |
Elsevier BV |
| Relação |
http://eprints.qut.edu.au/82485/1/jtcs.pdf DOI:10.1016/j.tcs.2014.09.030 Koolen, Wouter M. & Vovk, Vladimir (2014) Buy low, sell high. Theoretical Computer Science, 558, pp. 144-158. |
| Direitos |
Copyright 2014 Elsevier B.V. NOTICE: this is the author’s version of a work that was accepted for publication in Theoretical Computer Science. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Theoretical Computer Science, Volume 558, (13 November 2014), DOI: 10.1016/j.tcs.2014.09.030 |
| Fonte |
Science & Engineering Faculty; Mathematical Sciences |
| Palavras-Chave | #Online investment; Worst-case analysis; Probability-free option pricing |
| Tipo |
Journal Article |
