An agent strategy for automated stock market trading combining price and order book information

This paper proposes a novel automated agent strategy for stock market trading, developed in the context of the Penn-Lehman automated trading (PLAT) simulation platform by Kearns, M., and Ortiz, L., (2003). We provide a comprehensive experimental validation of our strategy using historic order book d...

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Bibliographic Details
Published in2005 ICSC Congress on Computational Intelligence Methods and Applications p. 4 pp.
Main Authors Silaghi, G.C., Robu, V.
Format Conference Proceeding
LanguageEnglish
Published IEEE 2005
Subjects
Automatic testing
Consumer electronics
Context modeling
Econometrics
Environmental economics
Heuristic algorithms
Signal design
Stock markets
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Summary:This paper proposes a novel automated agent strategy for stock market trading, developed in the context of the Penn-Lehman automated trading (PLAT) simulation platform by Kearns, M., and Ortiz, L., (2003). We provide a comprehensive experimental validation of our strategy using historic order book data from the NASDAQ market
ISBN:1424400201
9781424400201
DOI:10.1109/CIMA.2005.1662356