Article ID Journal Published Year Pages File Type
434064 Theoretical Computer Science 2014 15 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Computer Science Computational Theory and Mathematics
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