Related papers: Trading Prophets: How to Trade Multiple Stocks Opt…
We study threshold testing, an elementary probing model with the goal to choose a large value out of $n$ i.i.d. random variables. An algorithm can test each variable $X_i$ once for some threshold $t_i$, and the test returns binary feedback…
Deciding when to buy or sell a stock is not an easy task because the market is hard to predict, being influenced by political and economic factors. Thus, methodologies based on computational intelligence have been applied to this…
A novel algorithm for actively trading stocks is presented. While traditional expert advice and "universal" algorithms (as well as standard technical trading heuristics) attempt to predict winners or trends, our approach relies on…
Online contention resolution schemes (OCRSs) were proposed by Feldman, Svensson, and Zenklusen as a generic technique to round a fractional solution in the matroid polytope in an online fashion. It has found applications in several…
Investors try to predict returns of financial assets to make successful investment. Many quantitative analysts have used machine learning-based methods to find unknown profitable market rules from large amounts of market data. However,…
Financial market forecasting remains a formidable challenge despite the surge in computational capabilities and machine learning advancements. While numerous studies have underscored the precision of computer-generated market predictions,…
In the classical prophet inequality, a gambler faces a sequence of items, whose values are drawn independently from known distributions. Upon the arrival of each item, its value is realized and the gambler either accepts it and the game…
There is a rising interest for studying the online benchmark as an alternative of the classical offline benchmark in online stochastic settings. Ezra, Feldman, Gravin, and Tang (SODA 2023) introduced the notion of order-competitive ratio,…
Traders buy and sell financial instruments in hopes of making profit, and brokers are responsible for the transaction. There are several hypotheses and conspiracy theories arguing that in some situations, brokers want their traders to lose…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
We present a universal algorithm for online trading in Stock Market which performs asymptotically at least as good as any stationary trading strategy that computes the investment at each step using a fixed function of the side information…
A prophet inequality states, for some $\alpha\in[0,1]$, that the expected value achievable by a gambler who sequentially observes random variables $X_1,\dots,X_n$ and selects one of them is at least an $\alpha$ fraction of the maximum value…
We investigate prophet inequalities with competitive ratios approaching $1$, seeking to generalize $k$-uniform matroids. We first show that large girth does not suffice: for all $k$, there exists a matroid of girth $\geq k$ and a prophet…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…
We study the classic single-choice prophet secretary problem through a resource augmentation lens. Our goal is to bound the $(1-\epsilon)$-competition complexity for different classes of online algorithms. This metric asks for the smallest…
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure…
Prophet inequalities are a central object of study in optimal stopping theory. A gambler is sent values in an online fashion, sampled from an instance of independent distributions, in an adversarial, random or selected order, depending on…
Due to numerous applications in retail and (online) advertising the problem of assortment selection has been widely studied under many combinations of discrete choice models and feasibility constraints. In many situations, however, an…
In the classical prophet inequality settings, a gambler is given a sequence of $n$ random variables $X_1, \dots, X_n$, taken from known distributions, observes their values in this (potentially adversarial) order, and select one of them,…