Automated Internet Trading Based on Optimized Physics Models of Markets
نویسنده
چکیده
We describe a real-time, internet-based S&P futures trading system, including a description of general aspects of internet-mediated interactions with electronic exchanges. Inner-shell stochastic nonlinear dynamic models are developed, and Canonical Momenta Indicators (CMI) are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adaptive optimization using Adaptive Simulated Annealing (ASA) is used for fitting parameters shared across these shells of dynamic and trading models.
منابع مشابه
Automated Trading Systems: Developed and Emerging Capital Markets
Automated trading systems on developed and emerging capital markets are studied in this paper. The standard for developed market is automated trading system with 40-days simple moving average. We tested it for the index SIX Industrial for 1000 and 730 trading days. The Buy and Hold trading system was 7.80 times more profitable than this etalon trading system for active trading. Simple taking of...
متن کاملElectronic Markets and Multiagent Systems
As the Internet helps mediate millions of transactions in electronic markets, research work on automated trading agents is helping humans improve their trading objectives (e.g., finding lower prices and improving delivery options). This chapter presents an overview of the research work on trading agents in the context of the Trading Agent Competition. The Trading Agent Competition is an annual ...
متن کاملAutomated Trading in Agent-Based Markets for Communication Bandwidth
electronic commerce, internet auctions, electronic data submissions Automated agents are increasingly being used by organisations and individuals trading in electronic markets. Agents are particularly useful in markets where trade might not have been possible otherwise, for example because a lot of information must be processed quickly, or because employing human traders in 24-hour, small trans...
متن کاملLiquidity and the Evolution of Price Discovery on Floor versus Screen- Based Trading Systems: An Analysis of the Foreign Exchange Futures Markets By
This paper examines the relative liquidity and rate of price discovery on floorbased versus screen-based trading systems in the Japanese Yen, British Pound, and Euro foreign exchange futures markets traded on the Chicago Mercantile Exchange (CME). Intra-day data from January 2, 2003 through March 5, 2004 are used in our analysis. We find that liquidity, measured by bid-ask spreads, is tighter i...
متن کاملThe Emergence of Auctions on the Web
Auctions are formalized trading procedures in which the trading partners' interaction is governed by specific trading rules. Empirically we find a multiplicity of auction types with different trade objects, access rules for participants, and trading rules. During the 1980ies electronic auctions have been developed and implemented which distributed not only information about the trade objects el...
متن کامل