Title :
The Penn-Lehman automated trading project
Author :
Kearns, Michael ; Ortiz, Luis
Author_Institution :
Dept. of Comput. & Inf. Sci., Pennsylvania Univ., Philadelphia, PA, USA
Abstract :
The Penn-Lehman automated trading project is a broad investigation of algorithms and strategies for automated trading in financial markets. The PLAT project´s centerpiece is the Penn exchange simulator (PXS), a software simulator for automated stock trading that merges automated client orders for shares with real-world, real-time order data. PXS automatically computes client profits and losses, volumes traded, simulator and external prices, and other quantities of interest. To test the effectiveness of PXS and of various trading strategies, we´ve held three formal competitions between automated clients.
Keywords :
digital simulation; electronic trading; share prices; stock markets; Penn exchange simulator; Penn-Lehman automated trading project; financial market; real-time client order data; share price; software simulator; stock trading; Algorithm design and analysis; Artificial intelligence; Automatic testing; Computational modeling; Computer science; Consumer electronics; Microstructure; Safety; Stock markets; Veins;
Journal_Title :
Intelligent Systems, IEEE
DOI :
10.1109/MIS.2003.1249166
