Multi-dimensional trading problem in multi-participant settings
1.
SYSNO ASEP
0350852
Document Type
C - Proceedings Paper (int. conf.)
R&D Document Type
Conference Paper
Title
Multi-dimensional trading problem in multi-participant settings
Author(s)
Zeman, Jan (UTIA-B)
Source Title
Decision Making with Multiple Imperfect Decision Makers. - Prague : Institute of Information Theory and Automation Academy of Sciences of the Czech Republic, 2010 / Guy Tatiana V. ; Karny Miroslav ; Wolpert David
- ISBN 978-80-903834-5-6
Pages
s. 1-6
Number of pages
6 s.
Action
24th Annual Conference on Neural Information Processing Systems
Event date
06.12.2010-11.12.2010
VEvent location
Whistler, B.C. Canada
Country
CA - Canada
Event type
WRD
Language
eng - English
Country
CZ - Czech Republic
Keywords
multi-dimensional trading problem ; multi-participant settings
Subject RIV
BB - Applied Statistics, Operational Research
R&D Projects
1M0572 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
GA102/08/0567 GA ČR - Czech Science Foundation (CSF)
CEZ
AV0Z10750506 - UTIA-B (2005-2011)
Annotation
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.
