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  Online and Offline Selling in Limit Order Markets

Chang, K. (2008). Online and Offline Selling in Limit Order Markets. In C. Papadimitriou, & S. Shang (Eds.), Internet and Network Economics (pp. 41-52). Berlin: Springer.

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Item Permalink: https://hdl.handle.net/11858/00-001M-0000-000F-1C73-B Version Permalink: https://hdl.handle.net/11858/00-001M-0000-0028-F30B-4
Genre: Conference Paper

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 Creators:
Chang, Kevin1, Author           
Affiliations:
1Algorithms and Complexity, MPI for Informatics, Max Planck Society, ou_24019              

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 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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Language(s): eng - English
 Dates: 2009-03-232008
 Publication Status: Issued
 Pages: -
 Publishing info: -
 Table of Contents: -
 Rev. Type: -
 Identifiers: eDoc: 428012
DOI: 10.1007/978-3-540-92185-1_13
URI: http://dx.doi.org/10.1007/978-3-540-92185-1_13
Other: Local-ID: C125756E0038A185-67887FDE0C72E9F2C125742B0032C014-Chang2008a
 Degree: -

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Title: 4th International Workshop on Internet and Network Economics
Place of Event: Shanghai, China
Start-/End Date: 2008-12-17 - 2008-12-20

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Source 1

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Title: Internet and Network Economics
  Abbreviation : WINE 2008
  Subtitle : 4th International Workshop, WINE 2008, Shanghai, China, December 17-20, 2008. Proceedings
Source Genre: Proceedings
 Creator(s):
Papadimitriou, Christos1, Editor
Shang, Shuzhong1, Editor
Affiliations:
1 External Organizations, ou_persistent22            
Publ. Info: Berlin : Springer
Pages: - Volume / Issue: - Sequence Number: - Start / End Page: 41 - 52 Identifier: ISBN: 978-3-540-92184-4

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Title: Lecture Notes in Computer Science
  Abbreviation : LNCS
Source Genre: Series
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Publ. Info: -
Pages: - Volume / Issue: 5385 Sequence Number: - Start / End Page: - Identifier: -