| Item type |
学術雑誌論文 / Journal Article(1) |
| 公開日 |
2018-03-09 |
| タイトル |
|
|
タイトル |
Average-case competitive analyses for one-way trading |
| 言語 |
|
|
言語 |
eng |
| DOI |
|
|
|
関連識別子 |
https://doi.org/10.1007/s10878-009-9239-4 |
|
|
関連名称 |
10.1007/s10878-009-9239-4 |
| キーワード |
|
|
主題 |
Online algorithms, Competitive analysis, Average-case analysis, Stochastic analysis, Functional analysis, Currency trading, One-way trading, Financial engineering |
| 資源タイプ |
|
|
資源 |
http://purl.org/coar/resource_type/c_6501 |
|
タイプ |
journal article |
| 著者 |
Fujiwara, Hiroshi
Iwama, Kazuo
Sekiguchi, Yoshiyuki
|
| 信州大学研究者総覧へのリンク |
|
|
氏名 |
Fujiwara, Hiroshi |
|
URL |
http://soar-rd.shinshu-u.ac.jp/profile/ja.OmSVOFnU.html |
| 出版者 |
|
|
出版者 |
SPRINGER |
| 引用 |
|
|
内容記述 |
JOURNAL OF COMBINATORIAL OPTIMIZATION. 21(1): 83-107 (2011) |
| 書誌情報 |
JOURNAL OF COMBINATORIAL OPTIMIZATION
巻 21,
号 1,
p. 83-107,
発行日 2011
|
| 抄録 |
|
|
内容記述 |
Consider a trader who exchanges one dollar into yen and assume that the exchange rate fluctuates within the interval [m, M]. The game ends without advance notice, then the trader is forced to exchange all the remaining dollars at the minimum rate m. El-Yaniv et al. presented the optimal worst-case threat-based strategy for this game (El-Yaniv et al. 2001). In this paper, under the assumption that the distribution of the maximum exchange rate is known, we provide average-case analyses using all the reasonable optimization measures and derive different optimal strategies for each of them. Remarkable differences in behavior are as follows: Unlike other strategies, the average-case threat-based strategy that minimizes E[OPT/ALG] exchanges little by little. The maximization of E[ALG/OPT] and the minimization of E[OPT]/E[ALG] lead to similar strategies in that both exchange all at once. However, their timing is different. We also prove minimax theorems with respect to each objective function. |
| 資源タイプ（コンテンツの種類） |
|
| ISSN |
|
|
収録物識別子タイプ |
ISSN |
|
収録物識別子 |
1382-6905 |
| 権利 |
|
|
権利情報 |
The original publication is available at www.springerlink.com |
| 出版タイプ |
|
|
出版タイプ |
AM |
|
出版タイプResource |
http://purl.org/coar/version/c_ab4af688f83e57aa |
| WoS |
|
|
URL |
http://gateway.isiknowledge.com/gateway/Gateway.cgi?&GWVersion=2&SrcAuth=ShinshuUniv&SrcApp=ShinshuUniv&DestLinkType=FullRecord&DestApp=WOS&KeyUT=000286680500006 |
Average-Case_Competitive_Analyses_for_One-Way_Trading.pdf (227.5 kB)
