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128
Voted
SIGECOM
2004
ACM
254
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ECommerce
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SIGECOM 2004
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Competitive algorithms for VWAP and limit order trading
15 years 8 months ago
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www.cis.upenn.edu
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...
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