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Conference Papers Year : 2019

New algorithms for online time series search with interrelated prices

Abstract

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 and versions

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

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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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