Departmental Papers (CIS)

Date of this Version

November 2003

Document Type

Journal Article

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

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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.

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Date Posted: 15 November 2004

This document has been peer reviewed.