Mittagsseminar (in cooperation with A. Steger, D. Steurer and B. Sudakov)

Date and Time: Thursday, June 08, 2006, 12:15 pm

Duration: This information is not available in the database

Location: OAT S15/S16/S17

Speaker: Robin Künzler

Optimal Search and One-Way Trading Online Algorithms

This paper is concerned with the time series search and one-way trading problems. In the (time series) search problem a player is searching for the maximum (or minimum) price in a sequence that unfolds sequentially, one price at a time. Once during this game the player can decide to accept the current price p in which case the game ends and the player's payoff is p. In the one-way trading problem a trader is given the task of trading dollars to yen. Each day, a new exchange rate is announced and the trader must decide how many dollars to convert to yen according to the current rate. The game ends when the trader trades his entire dollar wealth to yen and his payoff is the number of yen acquired. Using the competitive ratio as a performance measure the optimal competitive performance for several variants of these problems are determined.

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