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Study on Competitive Strategies for Online Currency Trading Based on Risk-Aversion |
ZHANG Yong, ZHANG Wei-Guo, XU Wei-Jun |
South China Univeristy of Technology, Guangzhou, China |
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Abstract Based on risk aversion, this paper presents the online trading strategy of bounded daily exchange rate that fluctuates between different ranges. Under this strategy, we analyze the upper and lower bounds of the competitive ratio with linear growth daily exchange rate and total trading periods and compare the performance of competitive ratio between linear growth model and loggrowth model. Examples show that this risk aversion policy is more suitable for exchange rate which fluctuates in the smooth.
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Received: 12 December 2008
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