Institute of Information Theory and Automation

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Bibliography

Conference Paper (international conference)

Multi-dimensional trading problem in multi-participant settings

Zeman Jan

: Decision Making with Multiple Imperfect Decision Makers, p. 1-6 , Eds: Guy Tatiana V., Karny Miroslav, Wolpert David

: 24th Annual Conference on Neural Information Processing Systems, (Whistler, B.C. Canada, CA, 06.12.2010-11.12.2010)

: CEZ:AV0Z10750506

: 1M0572, GA MŠk, GA102/08/0567, GA ČR

: multi-dimensional trading problem, multi-participant settings

: http://library.utia.cas.cz/separaty/2010/AS/zeman-multi-dimensional trading problem in multi-participant settings.pdf

(eng): 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.

: BB

2019-01-07 08:39