{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,16]],"date-time":"2026-05-16T04:42:32Z","timestamp":1778906552340,"version":"3.51.4"},"reference-count":13,"publisher":"Association for Computing Machinery (ACM)","issue":"5","license":[{"start":{"date-parts":[[2010,5,1]],"date-time":"2010-05-01T00:00:00Z","timestamp":1272672000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.acm.org\/publications\/policies\/copyright_policy#Background"}],"content-domain":{"domain":["dl.acm.org"],"crossmark-restriction":true},"short-container-title":["Commun. ACM"],"published-print":{"date-parts":[[2010,5]]},"abstract":"<jats:p>Dark pools are a recent type of stock exchange in which information about outstanding orders is deliberately hidden in order to minimize the market impact of large-volume trades. The success and proliferation of dark pools have created challenging and interesting problems in algorithmic trading---in particular, the problem of optimizing the allocation of a large trade over multiple competing dark pools. In this work, we formalize this optimization as a problem of multi-venue exploration from censored data, and provide a provably efficient and near-optimal algorithm for its solution. Our algorithm and its analysis have much in common with well-studied algorithms for managing the exploration--exploitation trade-off in reinforcement learning. We also provide an extensive experimental evaluation of our algorithm using dark pool execution data from a large brokerage.<\/jats:p>","DOI":"10.1145\/1735223.1735247","type":"journal-article","created":{"date-parts":[[2010,4,27]],"date-time":"2010-04-27T12:45:25Z","timestamp":1272372325000},"page":"99-107","update-policy":"https:\/\/doi.org\/10.1145\/crossmark-policy","source":"Crossref","is-referenced-by-count":35,"title":["Censored exploration and the dark pool problem"],"prefix":"10.1145","volume":"53","author":[{"given":"Kuzman","family":"Ganchev","sequence":"first","affiliation":[{"name":"University of Pennsylvania"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yuriy","family":"Nevmyvaka","sequence":"additional","affiliation":[{"name":"University of Pennsylvania"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Michael","family":"Kearns","sequence":"additional","affiliation":[{"name":"University of Pennsylvania"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jennifer Wortman","family":"Vaughan","sequence":"additional","affiliation":[{"name":"Harvard University"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"320","published-online":{"date-parts":[[2010,5]]},"reference":[{"key":"e_1_2_1_1_1","doi-asserted-by":"publisher","DOI":"10.1214\/088342304000000530"},{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/0471722154"},{"key":"e_1_2_1_3_1","volume-title":"Big traders dive into dark pools. Business Week article, available at: http:\/\/www.businessweek.com\/investor\/content\/oct2007\/pi2007102_394204.htm","author":"Bogoslaw D.","year":"2007","unstructured":"Bogoslaw , D. Big traders dive into dark pools. Business Week article, available at: http:\/\/www.businessweek.com\/investor\/content\/oct2007\/pi2007102_394204.htm , 2007 . Bogoslaw, D. Big traders dive into dark pools. Business Week article, available at: http:\/\/www.businessweek.com\/investor\/content\/oct2007\/pi2007102_394204.htm, 2007."},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1162\/153244303765208377"},{"key":"e_1_2_1_5_1","first-page":"1","article-title":"Illuminating the new dark influence on trading and U.S. market structure","volume":"3","author":"Carrie C","year":"2008","unstructured":"Carrie , C . Illuminating the new dark influence on trading and U.S. market structure . J. Trading 3 , 1 ( 2008 ), 40--55. Carrie, C. Illuminating the new dark influence on trading and U.S. market structure. J. Trading 3, 1 (2008), 40--55.","journal-title":"J. Trading"},{"key":"e_1_2_1_6_1","volume-title":"Learning, and Games","author":"Cesa-Bianchi N.","year":"2006","unstructured":"Cesa-Bianchi , N. , Lugosi , G. Prediction , Learning, and Games , Cambridge University Press , 2006 . Cesa-Bianchi, N., Lugosi, G. Prediction, Learning, and Games, Cambridge University Press, 2006."},{"key":"e_1_2_1_7_1","first-page":"1","article-title":"Cul de sacs and highways: an optical tour of dark pool trading performance","volume":"4","author":"Domowitz I.","year":"2009","unstructured":"Domowitz , I. , Finkelshteyn , I. , Yegerman , H . Cul de sacs and highways: an optical tour of dark pool trading performance . J. Trading 4 , 1 ( 2009 ), 16--22. Domowitz, I., Finkelshteyn, I., Yegerman, H. Cul de sacs and highways: an optical tour of dark pool trading performance. J. Trading 4, 1 (2009), 16--22.","journal-title":"J. Trading"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176345337"},{"key":"e_1_2_1_9_1","volume-title":"Proceedings of the 25th Conference on Uncertainty in Artificial Intelligence","author":"Ganchev K.","year":"2009","unstructured":"Ganchev , K. , Kearns , M. Nevmyvaka , Y. , Vaughan , J.W. Censored exploration and the dark pool problem . In Proceedings of the 25th Conference on Uncertainty in Artificial Intelligence , 2009 . Ganchev, K., Kearns, M. Nevmyvaka, Y., Vaughan, J.W. Censored exploration and the dark pool problem. In Proceedings of the 25th Conference on Uncertainty in Artificial Intelligence, 2009."},{"key":"e_1_2_1_10_1","volume-title":"Adaptive data-driven inventory control policies based on Kaplan--Meier estimator. Preprint","author":"Huh W.T.","year":"2009","unstructured":"Huh , W.T. , Levi , R. , Rusmevichientong , P. , Orlin , J. Adaptive data-driven inventory control policies based on Kaplan--Meier estimator. Preprint available at http:\/\/legacy.orie.cornell.edu\/~paatrus\/psfiles\/km-myopic.pdf, 2009 . Huh, W.T., Levi, R., Rusmevichientong, P., Orlin, J. Adaptive data-driven inventory control policies based on Kaplan--Meier estimator. Preprint available at http:\/\/legacy.orie.cornell.edu\/~paatrus\/psfiles\/km-myopic.pdf, 2009."},{"key":"e_1_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1958.10501452"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1023\/A:1017984413808"},{"key":"e_1_2_1_13_1","volume-title":"Encyclopedia of Statistical Sciences","author":"Peterson A.V.","year":"1983","unstructured":"Peterson , A.V. Kaplan--Meier estimator . In Encyclopedia of Statistical Sciences . Wiley , 1983 . Peterson, A.V. Kaplan--Meier estimator. In Encyclopedia of Statistical Sciences. Wiley, 1983."}],"container-title":["Communications of the ACM"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/1735223.1735247","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/dl.acm.org\/doi\/pdf\/10.1145\/1735223.1735247","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,6,18]],"date-time":"2025-06-18T12:45:32Z","timestamp":1750250732000},"score":1,"resource":{"primary":{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/1735223.1735247"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010,5]]},"references-count":13,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2010,5]]}},"alternative-id":["10.1145\/1735223.1735247"],"URL":"https:\/\/doi.org\/10.1145\/1735223.1735247","relation":{},"ISSN":["0001-0782","1557-7317"],"issn-type":[{"value":"0001-0782","type":"print"},{"value":"1557-7317","type":"electronic"}],"subject":[],"published":{"date-parts":[[2010,5]]},"assertion":[{"value":"2010-05-01","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}