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Xu-Jin Chen

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Preprint Sep 2026

Optimal Prophet Inequalities for Gain from Trade

We initiate the study of prophet trading, an online trading model in which a trader interacts with sellers and buyers who arrive in a uniformly random order and whose prices are drawn independently from a common known distribution. The trader aims to maximize the expected gain from trade (GFT), with performance measure...

Xu-Jin Chen, Xiao-Dong Hu, Chang-Jun Wang et al. · 0 citations

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