Date of this Version
Michael J. Kearns and Luis Ortiz, "The Penn-Lehman Automated Trading Project", . November 2003.
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.
Date Posted: 15 November 2004
This document has been peer reviewed.