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SIGECOM
2004
ACM
254views ECommerce» more  SIGECOM 2004»
16 years 1 months ago
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 o...
Sham Kakade, Michael J. Kearns, Yishay Mansour, Lu...