Sciweavers

SIGECOM
2004
ACM
254views ECommerce» more  SIGECOM 2004»
13 years 10 months ago
Competitive algorithms for VWAP and limit order trading
We introduce new online models for two important aspects of modern financial markets: Volume Weighted Average Price trading and limit order books. We provide an extensive study o...
Sham Kakade, Michael J. Kearns, Yishay Mansour, Lu...