Název:
Multi-dimensional trading problem in multi-participant settings
Autoři:
Zeman, Jan Typ dokumentu: Příspěvky z konference Konference/Akce: 24th Annual Conference on Neural Information Processing Systems, Whistler, B.C. Canada (CA), 2010-12-06 / 2010-12-11
Rok:
2010
Jazyk:
eng
Abstrakt: The dimensionality of optimization problem arising within multi-market trading task grows exponentially with a growing number of markets. To prevent the dimensionality problem, multi-market trading is represented as a multi-participant decision making problem with finite common capital. Each local DM task is a single-market trading enriched by an ability to share a part of local capital with other local DM tasks (participants). The paper provides formulation of the problem and basic algorithmic steps. The approach is illustrated on the real market data.
Klíčová slova:
multi-dimensional trading problem; multi-participant settings Číslo projektu: CEZ:AV0Z10750506 (CEP), 1M0572 (CEP), GA102/08/0567 (CEP) Poskytovatel projektu: GA MŠk, GA ČR Zdrojový dokument: Decision Making with Multiple Imperfect Decision Makers, ISBN 978-80-903834-5-6