Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
434064 | Theoretical Computer Science | 2014 | 15 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Wouter M. Koolen, Vladimir Vovk,