A trading strategy is an algorithm that provides decision support for a trader. An ideal system suggests which stocks to buy and sell at every moment. Limited but still very useful trading strategies suggest stocks to buy, but leave the sell decisions and the decision of proportions of different stocks to the trader, or to another automatic decision mechanisim. In this paper we use a previously...

Many researchers in the software agent field use the financial domain as a test bed to develop adaptation, cooperation and learning skills of software agents. However, there are no open source financial market simulation tools available, that are able to provide a suitable environment for agents with real information about assets and order execution service. In order to address such demand, thi...

Since no organization can have unlimited resources, strategists should decide on a strategy that can provide the greatest benefits to the organization. Decisions on strategy formulation commit the organization to produce specific products, work in specific markets, and exploit certain resources and technologies for a relatively long time. Strategies dictate the long-term competitive advantages ...

We consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and whose outputs are the numerical values of initial capital requirement and the functional form of a trading strategy to achieve acceptability. We also prove opti...

We consider the infinite time-horizon optimal basket portfolio liquidation problem for a von NeumannMorgenstern investor in a multi-asset extension of the liquidity model of Almgren (2003) with cross-asset impact. Using a stochastic control approach, we establish a “separation theorem”: the sequence of portfolios held during an optimal liquidation depends only on the (co-)variance and (cross-as...

Foreign Exchange trading has emerged in recent times as a significant activity in many countries. As with most forms of trading, the activity is influenced by many random parameters so that the creation of a system that effectively emulates the trading process will he very helpful. In this paper we try to create such a system with a Genetic Algorithm engine to emulate trader behaviour on the Fo...

The studied model was suggested to design a perfect hedging strategy for a large trader. In this case the implementation of a hedging strategy affects the price of the underlying security. The feedback-effect leads to a nonlinear version of the Black-Scholes partial differential equation. Using the Lie group theory we reduce the partial differential equation in special cases to ordinary differe...

In this paper we propose a model of decentralized federation of traders. Each component trader manages its own set of federated traders. A federation contract is used to document the agreement between two federating traders. The importer's portion of the federation contract forms an import contract that states the service types available in the remote trader. The exporter's portion of the feder...