Competitive algorithms for VWAP and limit order trading

We introduce new online models for two important aspects of modern financial markets: Volume Weighted Average Price trading and limit order books. We provide an extensive study of competitive algorithms in these models and relate them to earlier online algorithms for stock trading. Categories and Subject Descriptors F.2 [Analysis of Algorithms and Problem Complexity]: Miscellaneous; J.4 [Social and Behavioral Sciences]: Economics General Terms Algorithms, Economics Keywords Online Trading, Competitive Analysis, VWAP

• Type: Conference
• Year: 2004
• Where: SIGECOM
• Authors: Sham Kakade, Michael J. Kearns, Yishay Mansour, Luis E. Ortiz
• Keywords: Average Price Trading, Competitive Algorithms, Earlier Online Algorithms, SIGECOM 2004