Optimal Allocation Strategies for the Dark Pool Problem

Alekh Agarwal, Peter Bartlett, Max Dama ; JMLR W&CP 9:9-16, 2010.

Abstract

We study the problem of allocating stocks to dark pools. We propose and analyze an optimal approach for allocations, if continuous-valued allocations are allowed. We also propose a modification for the case when only integer-valued allocations are possible. We extend the previous work on this problem by Ganchev et al (UAI 2009) to adversarial scenarios, while also improving over their results in the iid setup. The resulting algorithms are efficient, and are tested on extensive simulations under stochastic and adversarial inputs. Our work also has consequences for other perishable inventory control problems, extending their analyses to adversarial models too.