Algorithms in Financial Arbitrage
Project: Research
Researcher(s)
- Xiaotie DENG (Principal Investigator / Project Coordinator)Department of Computer Science
Description
The project will study financial arbitrage under constraints such as integrality condition, ask-bid spreads, and capacity constraints in realistic trading systems. The researchers will develop optimization tools in approximation and competitiveness for optimal portfolio management of stocks and options.Detail(s)
| Project number | 7002308 |
|---|---|
| Grant type | SRG |
| Status | Finished |
| Effective start/end date | 1/04/08 → 1/11/10 |
