Conference paper

Decision Making with Multiple Imperfect Decision Makers

Institute of Information Theory and Automation Academy of Sc

Prague

2010

978-80-903834-5-6

Ing. Jan Zeman (ÚTIA - Oddělení adaptivních systémů)

multi-dimensional trading problem, multi-participant setting

The dimensionality of optimization problem arising within multi-market trading task grows exponentially with a growing number of markets. To prevent the dimensionality problem, multi-market trading is represented as a multi-participant decision making problem with finite common capital. Each local DM task is a single-market trading enriched by an ability to share a part of local capital with other local DM tasks (participants). The paper provides formulation of the problem and basic algorithmic steps. The approach is illustrated on the real market data.