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Author, Editor

Author(s):

Chang, Kevin
Johnson, Aaron

dblp
dblp

Not MPG Author(s):

Johnson, Aaron

Editor(s):





BibTeX cite key*:

Chang2008a

Title, Booktitle

Title*:

Online and offline selling in limit order markets

Booktitle*:

4th International Workshop on Internet and Network Economics (WINE 2008)

Event, URLs

URL of the conference:


URL for downloading the paper:


Event Address*:

Shanghai, China

Language:

English

Event Date*
(no longer used):


Organization:


Event Start Date:

14 April 2008

Event End Date:

14 April 2008

Publisher

Name*:

Springer

URL:


Address*:

Berlin

Type:


Vol, No, Year, pp.

Series:

Lecture Notes in Computer Science

Volume:

5385

Number:


Month:


Pages:

41-52

Year*:

2008

VG Wort Pages:


ISBN/ISSN:


Sequence Number:


DOI:




Note, Abstract, ©


(LaTeX) Abstract:

Completely automated electronic securities exchanges
and algorithms for trading in these exchanges have become
very important for modern finance. In \cite{kkmo04},
Kakade \etal introduced the limit order market model,
which is a prevalent paradigm in electronic markets.
In this paper, we consider both online and offline algorithms
for selling securities in limit order markets in order to
maximize the total revenue realized from the sale. We first
prove that the standard reservation price algorithm has an
optimal competitive ratio for this problem. Since this is
not constant, we turn to offline optimization in order to
compute improved solutions. We show that the offline
optimization problem is \textbf{NP}-hard, even for very restricted
instances, by reducing from \knapsack. We complement the
hardness result by presenting an approximation scheme
that runs in polynomial time for a wide class of instances.



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Access Level:

Institute

Correlation

MPG Unit:

Max-Planck-Institut für Informatik



MPG Subunit:

Algorithms and Complexity Group

Audience:

experts only

Appearance:

MPII WWW Server, MPII FTP Server, MPG publications list, university publications list, working group publication list, Fachbeirat, VG Wort



BibTeX Entry:

@INPROCEEDINGS{Chang2008a,
AUTHOR = {Chang, Kevin and Johnson, Aaron},
TITLE = {Online and offline selling in limit order markets},
BOOKTITLE = {4th International Workshop on Internet and Network Economics (WINE 2008)},
PUBLISHER = {Springer},
YEAR = {2008},
VOLUME = {5385},
PAGES = {41--52},
SERIES = {Lecture Notes in Computer Science},
ADDRESS = {Shanghai, China},
}


Entry last modified by Frank Neumann, 04/30/2009
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Editor(s)
Kevin Chang
Created
04/14/2008 11:14:19 AM
Revision
1.
0.


Editor
Frank Neumann
Kevin Chang


Edit Date
04/30/2009 01:38:14 PM
04/14/2008 11:14:19 AM