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Average-case competitive analyses for one-way trading
http://hdl.handle.net/10091/00020333
http://hdl.handle.net/10091/000203330c71cd61-60c2-45d1-99f8-0527333e41db
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
Average-Case_Competitive_Analyses_for_One-Way_Trading.pdf (227.5 kB)
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| Item type | 学術雑誌論文 / Journal Article(1) | |||||||||||
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| 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
× Fujiwara, Hiroshi
× Iwama, Kazuo
× Sekiguchi, Yoshiyuki
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| 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 |
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| 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 | |||||||||||
