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
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