This paper is concerned with the optimality of a trend following trading rule. The underlying market is modeled as a bull-bear switching market in which the drift of the stock price switches between two states: the uptrend (bull market) and the downtrend (bear market). Such switching process is modelled as a hidden Markov chain. This is a continuation of our earlier study reported in Dai et al....

We introduce trading rules which are selected by an arti…cially intelligent agent who learns from experience an Arti…cial Technical Analyst. It is shown that these rules can lead to the recognition of subtle regularities in return processes whilst reducing data-mining problems inherent in simple rules proposed as model evaluation devices. The relationship between the e¢ciency of …nancial market...

We introduce trading rules which are selected by an arti…cially intelligent agent who learns from experience an Arti…cial Technical Analyst. It is shown that these rules can lead to the recognition of subtle regularities in return processes whilst reducing data-mining problems inherent in simple rules proposed as model evaluation devices. The relationship between the e¢ciency of …nancial market...

Financial engineering such as trading decision is an emerging research area and also has great commercial potentials. A successful stock buying/selling generally occurs near price trend turning point. Traditional technical analysis relies on some statistics (i.e. technical indicators) to predict turning point of the trend. However, these indicators can not guarantee the accuracy of prediction i...

Emerging applications such as high frequency trading are driving new requirements for ultra-low latency data center network designs. In this paper, we review low latency messaging applications for enterprise server platforms and present the results of a recent audited industry standard benchmark test designed to simulate the effects of real time financial trading systems. Design best practices ...

In this study, a market trading rulebase is optimised using genetic programming (GP). The rulebase is comprised of simple relationships between technical indicators, and generates signals to buy, sell short, and remain inactive. The methodology is applied to prediction of the Standard & Poor’s composite index (02-Jan-1990 to 18-Oct-2001). Two potential market systems are inferred: a simple syst...

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I study two prominent strategyproof matching rules when strict priorities over objects are given exogenously: the Deferred Acceptance Rule (DA) and the Top Trading Cycle Rule With Inheritance (TTC). It is well known that the DA rule is stable while the TTC rule is efficient, but not vice versa, and that these two properties cannot be reconciled. The primary innovation of the paper is the introd...