A Hierarchical Simulation Based Software Architecture For Back-Testing And Automated Trading
نویسندگان
چکیده
Financial markets are highly complex adaptive systems. This paper deals with the application of simulators in software architectures for back-testing and automating financial market trading strategies. It characterizes traits and problems of algorithmic trading and describes the established use of simulators in back-testing and automated trading. A new approach in the form of a hierarchical software architecture is introduced, containing simulators as integral parts in all layers, using them both during back-testing and automated trading. In addition to the software architecture the opening objects of investigation are outlined. Finally, the potential of generalizing the application domains of our approach beyond financial market trading strategies is pointed out.
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