The Penn-Lehman Automated Trading Project
نویسندگان
چکیده
We describe the Penn-Lehman Automated Trading project, a broad investigation of algorithms and strategies for automated trading in financial markets that centers around the Penn Exchange Simulator (PXS). PXS performs a stock market simulation that integrates virtual client orders with limit order data from real-world electronic exchanges. We describe our motivations and interests, the design and architecture of PXS, and the results of several competitions we have designed and held among a diverse set of 14 automated trading clients submitted by over 30 participants.
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ورودعنوان ژورنال:
- IEEE Intelligent Systems
دوره 18 شماره
صفحات -
تاریخ انتشار 2003