IS Research Seminar (18 February 2009): Prof. Günter Schmidt

NOTICE OF RESEARCH SEMINAR
No: 2009.3

Date: Wednesday, 18 February 2009
Time: 12h30-14h00
Venue: Leslie Commerce Building, Upper Campus, Room 6.14
Speaker: Professor Günter Schmidt

Topic: Analysis of an Online Algorithm for Multiple Trading Problems

ABSTRACT

If we trade in financial markets we are interested in buying at low and selling at high prices. We suggest an active online trading algorithm which tries to solve this type of problem. The algorithm is based on reservation prices. The effectiveness of the algorithm is analyzed from a worst case and an average case point of view. We also want to give an answer to the questions if the suggested online algorithm shows a superior behaviour to buy and-hold policies. We calculate the average competitive performance of our algorithm using simulation on historical data.

SPEAKER

Professor Günter Schmidt is a full professor of Information and Technology Management and Director of the Institute of Information and Communication Systems at the Computer Science Department and Business School, Saarland University, Germany. He is also Visiting Professor at University of Liechtenstein. Professor Schmidt has research and teaching interests in the areas of Trading Algorithms, Scheduling Theory, Information and Decision Sciences, Operations Research, Combinatorial Optimization and Financial Information Systems. He has published widely in 18 books and 125 papers.

A finger lunch and refreshments will be provided. To RSVP and for further information on the seminar please call 650 4242 or email: linda.magodla@uct.ac.za