The Penn-Lehman automated trading project

Author

Kearns, Michael ; Ortiz, Luis

Author_Institution

Dept. of Comput. & Inf. Sci., Pennsylvania Univ., Philadelphia, PA, USA

Volume

18

Issue

6

fYear

2003

Firstpage

22

Lastpage

31

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;

fLanguage

English

Journal_Title

Intelligent Systems, IEEE

Publisher

ieee

ISSN

1541-1672

Type

jour

DOI

10.1109/MIS.2003.1249166

Filename

1249166