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Competitive Difference Analysis of the One-Way Trading Problem with Limited Information

by Wei Wang, Liying Wang, Yingjie Lan*, Jean X. Zhang

ARTICLE | European Journal of Operational Research | Vol. 252, 2016


We consider robust one-way trading with limited information on price fluctuations. Our analysis finds the best guarantee of difference from the optimal offline performance. We provide closed-form solution, and reveal for the first time all possible worst-case scenarios. Numerical experiments show that our policy is more tolerant of information inaccuracy than Bayesian policies, and can earn higher average revenue than other robust policies while keeping a lower standard deviation.

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