Presently, a multiplicity of trading systems provide electronic markets with various market rules to professional and private investors in different sectors. This range only partially reflects the individual requirements dependent on the type of product and the environmental context of the trade. There is need for individual solutions satisfying these specific requirements regarding the tradabl...

The ultimate goal of any testing strategy is to measure profitability. This paper measures the profitability of simple technical trading rules based on nonparametric models which maximize the total returns of an investment strategy. The profitability of an investment strategy is evaluated against a simple buy-and-hold strategy on the security and its distance from the ideal net profit. The pred...

This paper introduces an order-driven market with heterogeneous investors, who submit limit or market orders according to their own trading rules. The trading rules are repeatedly updated via simple learning and adaptation of the investors. We analyze markets with and without learning and adaptation. The simulation results show that our model with learning and adaptation successfully replicates...

In many applications it is necessary to use a simple and therefore highly misspecified econometric model as the basis for decision-making. We propose an approach to developing a possibly misspecified econometric model that will be used as the beliefs of an expected utility maximiser. An objective function that measures the value of predictive distributions in decision-making is introduced and u...

The objective of technical trading is to identify profitable conditions for the entry and exit of market positions. This paper explores the potential use of three common momentum indicators to classify the outcome (return) of a position defined by trading signals of a Simple Moving Average system. The collection of positions associated with each randomly selected security was grouped into outco...

Tremendous changes are occurring in financial markets and trading organizations as a result of technology developments. These advances in IT have created significant opportunities for economies of scale, reduced transaction costs, and enhanced trading liquidity. New market systems also create major risks for exchanges and their operators stemming as a result of competitive forces unleashed by o...

Financial investment decision making is extremely difficult due to the complexity of the domain. Many factors could influence the change of share prices. FGP (Financial Genetic Programming) is a genetic programming based forecasting system, which is designed to help users evaluate impact of factors and explore their interactions in relation to future prices. Users channel into FGP factors that ...

We investigate the performance of more than 21,000 technical trading rules on 12 categorical and country-specific markets over 2004–2015 study period. For this purpose, we apply a discrete false discovery rate approach in 240,000 hypotheses examine profitability, persistence robustness analysis. In terms our results, analysis has short-term value its profitability is mainly driven by momentum. ...

The support of reconfiguration requires the existence of negotiation procedures and trading rules connecting the device reconfiguration manager with the corresponding network proxies that will operate between the network proxies and the managed equipment, and will enable the exchange of information (e.g. mode availability, access network capabilities) or the ordering of certain procedures to ta...

The Top Trading Cycles mechanism emerges as a desirable solution in various market design applications. Yet recommendations are made without any rigorous foundation for the role priorities play in assignment. We explain that role by recursive individual rationality with respect to a priority structure. We show that a mechanism is Pareto efficient, strategy-proof and recursively individual ratio...