Departmental Papers (CIS)
Date of this Version
November 2003
Document Type
Journal Article
Recommended Citation
Michael J. Kearns and Luis Ortiz, "The Penn-Lehman Automated Trading Project", . November 2003.
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.
Date Posted: 15 November 2004
This document has been peer reviewed.
Comments
Copyright 2003 IEEE. Reprinted from IEEE Intelligent Systems, Volume 18, Issue 6, November-December 2003, pages 22-31.
Publisher URL: http://ieeexplore.ieee.org/xpl/tocresult.jsp?isNumber=27968&puNumber=5254
This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of the University of Pennsylvania's products or services. Internal or personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution must be obtained from the IEEE by writing to pubs-permissions@ieee.org. By choosing to view this document, you agree to all provisions of the copyright laws protecting it.