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Communication Dans Un Congrès Année : 2019

New algorithms for online time series search with interrelated prices

Résumé

We consider the online time series search problem with interrelated prices. Using the already established UND algorithm of [5], we develop one new optimal online algorithm o-UND which improves the experimental performance of an optimal solution for selected parameter combinations. We conduct an experimental testing of UND and o-UND and establish the parameter combinations for which one algorithm is better than the other. We then combine these two algorithms into a new one called POUND. This algorithm incorporates the strengths of UND and o-UND and is also optimal.
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Dates et versions

hal-04000348 , version 1 (22-02-2023)

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Citer

Pascal Schroeder, Imed Kacem. New algorithms for online time series search with interrelated prices. 2019 6th International Conference on Control, Decision and Information Technologies (CoDIT), Apr 2019, Paris, France. pp.1682-1687, ⟨10.1109/CoDIT.2019.8820654⟩. ⟨hal-04000348⟩
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