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SUMMARY:Censored Exploration in Dark Pools - Prof. Michael Kearns (Univers
 ity of Pennsylvania)
DTSTART:20110603T100000Z
DTEND:20110603T110000Z
UID:TALK31636@talks.cam.ac.uk
CONTACT:Zoubin Ghahramani
DESCRIPTION:I will introduce the problem of order dispersion in dark pools
 \, a relatively new kind of equities exchange in which traders seek to "in
 visibly" trade large volumes at market prices. I will present a provably e
 fficient algorithm for near-optimal order placement in dark pools. This al
 gorithm is based on methods from reinforcement learning and the Kaplan-Mei
 er estimator from survival analysis. Some experimental evaluation of the a
 lgorithm will be presented.\n\nJoint work with Kuzman Ganchev\, Yuriy Nevm
 yvaka\, and Jennifer Wortman Vaughan.\n
LOCATION:Engineering Department\, CBL Room 438
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