Abstract
We consider online trading in a single security with the objective of getting rich when its price ever exhibits a large upcrossing without risking bankruptcy. We investigate payoff guarantees that are expressed in terms of the extremity of the upcrossings. We obtain an exact and elegant characterisation of the guarantees that can be achieved. Moreover, we derive a simple canonical strategy for each attainable guarantee. © 2012 Springer-Verlag.
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Koolen, W. M., & Vovk, V. (2012). Buy low, sell high. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 7568 LNAI, pp. 335–349). https://doi.org/10.1007/978-3-642-34106-9_27
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