Mittagsseminar (in cooperation with J. Lengler, A. Steger, and D. Steurer)

Date and Time: Thursday, October 06, 2011, 12:15 pm

Duration: 30 minutes

Location: OAT S15/S16/S17

Speaker: Elad Hazan (Technion)

Learning in the game of investing

The stock market has inspired numerous mathematical models which besides being scientifically fascinating, greatly affect our everyday life. In this talk we will review the main approaches to investing, the relationship between them and describe recent algorithmic advances which interpolate between the models.

We start by reviewing the information theoretic approach to investing, and a recent algorithm in this model which is significantly more efficient. Next we'll consider further algorithmic advancements in online learning, and their implications in the standard statistical models for investing that are used in practice.

Based on work with Amit Agarwal, Adam Kalai and Satyen Kale.

The talk is self-contained, and no prior knowledge is assumed.

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