Competitive difference analysis of the one-way trading problem with limited informationAuthor-Name: Wang, Wei

Liying Wang, Yingjie Lan and Jean X. Zhang

European Journal of Operational Research, 2016, vol. 252, issue 3, 879-887

Abstract: We consider robust one-way trading with limited information on price fluctuations. Our analysis finds the best guarantee of difference from the optimal offline performance. We provide closed-form solution, and reveal for the first time all possible worst-case scenarios. Numerical experiments show that our policy is more tolerant of information inaccuracy than Bayesian policies, and can earn higher average revenue than other robust policies while keeping a lower standard deviation.

Keywords: Robustness and sensitivity analysis; One-way trading; Competitive analysis; Online algorithms (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:252:y:2016:i:3:p:879-887

DOI: 10.1016/j.ejor.2016.01.031

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