کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4652770 | 1632595 | 2010 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Experimental Analysis of an Online Trading Algorithm
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات گسسته و ترکیبات
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Trading decisions in financial markets can be supported by the use of online algorithms. We evaluate the empirical performance of a threat-based online algorithm and compare it to a reservation price algorithm, an average price algorithm and to buy-and-hold. The algorithms are analyzed from a worst case and an empirical case point of view. The effectiveness of the algorithms is analyzed with historical DAX-30 prices for the years 1998 to 2007. The performance of the threat-based algorithm found in the simulation runs dominates all other investigated algorithms. We also compare its performance to results from worst case analysis and conduct a t-test.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Electronic Notes in Discrete Mathematics - Volume 36, 1 August 2010, Pages 519-526
Journal: Electronic Notes in Discrete Mathematics - Volume 36, 1 August 2010, Pages 519-526