Title :
An agent strategy for automated stock market trading combining price and order book information
Author :
Silaghi, Gheorghe Cosmin ; Robu, Valentin
Author_Institution :
Fac. of Economic Sci., Babes-Bolyai Univ., Cluj-Napoca
Abstract :
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
Keywords :
electronic trading; pricing; share prices; software agents; stock markets; Penn-Lehman automated trading simulation platform; agent strategy; automated stock market trading; order book information; Automatic testing; Books; Consumer electronics; Context modeling; Econometrics; Environmental economics; Heuristic algorithms; Signal design; Stock markets;
Conference_Titel :
Computational Intelligence Methods and Applications, 2005 ICSC Congress on
Conference_Location :
Istanbul
Print_ISBN :
1-4244-0020-1
DOI :
10.1109/CIMA.2005.1662356
