Trading in Financial Markets with Online Algorithms

Esther Mohr () and Günter Schmidt ()
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Esther Mohr: Saarland University
Günter Schmidt: Saarland University

Chapter 6 in Operations Research Proceedings 2008, 2009, pp 33-38 from Springer

Abstract: Summary If we trade in financial markets we are interested in buying at low and selling at high prices. We suggest an active reservation price based trading algorithm which tries to solve this type of problem. The effectiveness of the algorithm is analyzed from a worst case point of view. We want to give an answer to the question if the suggested algorithm shows a superior behaviour to buy-and-hold policies using simulation on historical data.

Keywords: Financial Market; Asset Price; Trading Policy; Online Algorithm; Reservation Price (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-00142-0_6

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DOI: 10.1007/978-3-642-00142-0_6

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