Multi-dimensional trading problem in multi-participant settings

0350852 - ÚTIA 2011 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Zeman, Jan
Multi-dimensional trading problem in multi-participant settings.
Decision Making with Multiple Imperfect Decision Makers. Prague: Institute of Information Theory and Automation Academy of Sciences of the Czech Republic, 2010 - (Guy, T.; Karny, M.; Wolpert, D.), s. 1-6. ISBN 978-80-903834-5-6.
[24th Annual Conference on Neural Information Processing Systems. Whistler, B.C. Canada (CA), 06.12.2010-11.12.2010]
Grant CEP: GA MŠMT 1M0572; GA ČR GA102/08/0567
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: multi-dimensional trading problem * multi-participant settings
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
http://library.utia.cas.cz/separaty/2010/AS/zeman-multi-dimensional trading problem in multi-participant settings.pdf

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.
Trvalý link: http://hdl.handle.net/11104/0190741