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Optimal Allocation Strategies for the Dark Pool Problem

By Alekh Agarwal, Peter Bartlett and Max Dama


We study the problem of allocating stocks to dark pools. We propose and analyze an optimal approach for allocations, if continuousvalued 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 (Ganchev et al., 2009) to adversarial scenarios, while also improving on their results in the iid setup. The resulting algorithms are efficient, and perform well in simulations under stochastic and adversarial inputs.

Year: 2011
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