Original title: Multi-dimensional trading problem in multi-participant settings
Authors: Zeman, Jan
Document type: Papers
Conference/Event: 24th Annual Conference on Neural Information Processing Systems, Whistler, B.C. Canada (CA), 2010-12-06 / 2010-12-11
Year: 2010
Language: eng
Abstract: 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.
Keywords: multi-dimensional trading problem; multi-participant settings
Project no.: CEZ:AV0Z10750506 (CEP), 1M0572 (CEP), GA102/08/0567 (CEP)
Funding provider: GA MŠk, GA ČR
Host item entry: Decision Making with Multiple Imperfect Decision Makers, ISBN 978-80-903834-5-6

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2010/AS/zeman-multi-dimensional trading problem in multi-participant settings.pdf
Original record: http://hdl.handle.net/11104/0190741

Permalink: http://www.nusl.cz/ntk/nusl-42078


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Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers