Competitive algorithms for VWAP and limit order trading
Sham M. Kakade, Michael J. Kearns, Yishay Mansour, Luis E. Ortiz · 2004
We introduce new online models for two important aspectsof modern financial markets: Volume Weighted Average Pricetrading and limit order books. We provide an extensivestudy of competitive algorithms in these models and relatethem to earlier online algorithms for stock trading.