Abstract
We consider online trading in a single security with the objective of getting rich when its price ever exhibits a large upcrossing without risking bankruptcy. We investigate payoff guarantees that are expressed in terms of the extremity of the upcrossings. We obtain an exact and elegant characterisation of the guarantees that can be achieved. Moreover, we derive a simple canonical strategy for each attainable guarantee.
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Koolen, W.M., Vovk, V. (2012). Buy Low, Sell High. In: Bshouty, N.H., Stoltz, G., Vayatis, N., Zeugmann, T. (eds) Algorithmic Learning Theory. ALT 2012. Lecture Notes in Computer Science(), vol 7568. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-34106-9_27
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DOI: https://doi.org/10.1007/978-3-642-34106-9_27
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-34105-2
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