An online trading problem with an increasing number of available products

Wenming Zhang (), Ye Zhang (), Yongxi Cheng () and Shankui Zheng ()
Additional contact information
Wenming Zhang: Northwest University
Ye Zhang: Northwest University
Yongxi Cheng: Xi’an Jiaotong University
Shankui Zheng: Beijing Interstellar Glory Space Technology Co., Ltd.

Journal of Combinatorial Optimization, 2022, vol. 44, issue 1, No 25, 518-531

Abstract: Abstract In this paper, we study a multiple time series search problem in which at the first n periods, one product is produced in each period and becomes sellable. The total length of the trading horizon N ( $$N>n$$ N > n ), i.e., the total number of trading periods (which includes the first n periods when the products are produced), is unknown beforehand. All the n products are homogeneous. At each period, a price is observed and the player must decide immediately the number of available products to sell at this period, without the knowledge of future prices and when the trading horizon ends. The objective is to maximize the total revenue from selling the n products. We present an online algorithm ON for this problem and prove its competitive ratio. A lower bound on the competitive ratio for this online problem is also proved. Numerical results for the theoretical competitive ratio of algorithm ON and the lower bound are also reported.

Keywords: Multiple time series search; Online algorithms; Competitive analysis; Lower bounds (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10878-021-00841-y

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