Title :
Optimal trade execution: an evolutionary approach
Author :
Lim, Marcus ; Coggins, Richard J.
Author_Institution :
Sch. of Electr. & Inf. Eng., Sydney Univ., NSW, Australia
Abstract :
In this paper, transaction level order book data from the Australian Stock Exchange (ASX) is used to perform a detailed historical market simulation in order to back-test the performance of trade execution strategies. Against this backdrop, we explore whether genetic algorithms (GA) can help discover strategies that are optimal with respect to the VWAP benchmark measure of trade execution performance. The GA approach outperforms two naive strategies both in and out of sample and shows promise as an optimization technique for trade execution.
Keywords :
commerce; genetic algorithms; stock markets; Australian Stock Exchange; VWAP benchmark; genetic algorithm; historical market simulation; optimal trade execution; optimization technique; transaction level order book; Australia; Books; Consumer electronics; Costs; Data engineering; Finance; Genetic algorithms; Humans; Microstructure; Stock markets;
Conference_Titel :
Evolutionary Computation, 2005. The 2005 IEEE Congress on
Print_ISBN :
0-7803-9363-5
DOI :
10.1109/CEC.2005.1554806
