Optimal Buy-and-Hold Trading Algorithms

Abstract

A general solution is presented for any finite request-answer game to derive its optimal competitive ratio and optimal randomized on-line algorithm against the oblivious adversary. The solution is based on game theory. We then apply the framework to the practical buy-and-hold trading problem and find the exact optimal competitive ratio and an optimal randomized on-line algorithm. We also prove the uniqueness of the solution. (This talk is based on joint work with Gen-Huey Chen, Ming-Yang Kao, Hsing-Kuo Wong.)