Abstract
Based on the unidirectional conversion model, we investigate a practical buy-and-hold trading problem. This problem is useful for long-term investors, we use competitive analysis and game theory to design some trading rules in the securities markets. We present an online algorithm, Mixed Strategy, for the problem and prove its competitive ratio \(1 + \frac{(n-1)t}{2}\), where n is the trading horizon and t is the daily fluctuations of securities prices. The Dynamic-Mixed Strategy is also presented to further reduce the competitive ratio. An investing example is simulated with the Mixed Strategy and Dollar Average Strategy based on the actual market data.
Supported by NSF Grant No.70471035 and No.10371094.
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© 2005 Springer-Verlag Berlin Heidelberg
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Hu, S., Guo, Q., Li, H. (2005). Competitive Analysis of On-line Securities Investment. In: Megiddo, N., Xu, Y., Zhu, B. (eds) Algorithmic Applications in Management. AAIM 2005. Lecture Notes in Computer Science, vol 3521. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11496199_25
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DOI: https://doi.org/10.1007/11496199_25
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-26224-4
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