The collaboration of agents can undertake complicated tasks that cannot be handled well by a single agent. This is even true for excecuting multiple goals at the same time. In this paper, we demonstrate the use of trading agent collaboration in integrating multiple trading strategies. Trading agents are used for developing quality trading strategies to support smart actions in the market. Evolu...

this paper represents a complete survey on generation companies’ (gencos’) optimal bidding strategy problem in restructured power markets. in this regard after an introduction to competitive electricity markets, concept of optimal bidding strategy is presented. considering large amount of works accomplished in this area a novel classification is implemented in order to categorize the existing d...

bag of related financial instruments to make profits by exploiting their relations. One important feature of pairs trading is that it is market-neutral, which is particularly appealing in the current volatile and unpredictable macro-economic environments. In this project, we will use the spread model, the O-U meanreverting model, and SVM to build a trading strategy and apply the strategy to GOO...

Statistical arbitrage is a profit situation arising from pricing inefficiencies between securities. This is usually identified through mathematical modeling techniques. Hogan, Jarrow, and Warachka describe the dynamics of trading profits as a stochastic process. A test for statistical arbitrage can then be based on identification of the parameters of the process. This project implements such a ...

We consider the optimal consumption and investment with transaction costs on multiple assets, where the prices of risky assets jointly follow a multi-dimensional geometric Brownian motion. We characterize the optimal investment strategy and in particular prove by rigorous mathematical analysis that the trading region has the shape that is very much needed for well defining the trading strategy,...

We propose a prediction model based on the minority game in which traders continuously evaluate a complete set of trading strategies with different memory lengths using the strategies’ past performance. Based on the chosen trading strategy they determine their prediction of the movement for the following time period of a single asset. We find empirically using stocks from the S&P500 that our pr...

Currency trading is a vast and highly profitable business. This review examines the profitability of two popular currency trading strategies in light of currency-market microstructure research. The carry-trade strategy involves borrowing a low-interest currency and investing the proceeds in a high-interest currency. Technical trading strategies are determined exclusively on the basis of past as...