Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6895663 | European Journal of Operational Research | 2016 | 9 Pages |
Abstract
We consider robust one-way trading with limited information on price fluctuations. Our analysis finds the best guarantee of difference from the optimal offline performance. We provide closed-form solution, and reveal for the first time all possible worst-case scenarios. Numerical experiments show that our policy is more tolerant of information inaccuracy than Bayesian policies, and can earn higher average revenue than other robust policies while keeping a lower standard deviation.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Wei Wang, Liying Wang, Yingjie Lan, Jean X. Zhang,