相关论文: Automated Trading Systems: Developed and Emerging …

An artificial stock market is established based on multi-agent . Each agent has a limit memory of the history of stock price, and will choose an action according to his memory and trading strategy. The trading strategy of each agent evolves…

How effective are the most common trading models? The answer may help investors realize upsides to using each model, act as a segue for investors into more complex financial analysis and machine learning, and to increase financial literacy…

The report presents with the development and optimisation of an enhanced algorithmic trading strategy through the use of historical S&P 500 market data and earnings call sentiment analysis. The proposed strategy integrates various technical…

An active margin system for margin loans is proposed for Chinese margin lending market, which uses cash and randomly selected stock as collateral. The conditional probability of negative return(CPNR) after a forced sale of securities from…

This paper investigates an expected average error for distributed averaging problems under asynchronous updates. The asynchronism in this context implies no existence of a global clock as well as random characteristics in communication…

Due to the increasing popularity of futures trading among financial market participants, the risk management of these instruments is crucial. In this paper, we introduce a model for estimating the ideal time for leaving a trading position…

We propose and study the integration of sentiment analysis and deep reinforcement learning ensemble algorithms for stock trading by evaluating strategies capable of dynamically altering their active agent given the concurrent market…

The main purpose of this study is the determination of the optimal length of the historical data for the estimation of statistical parameters in Markowitz Portfolio Optimization. We present a trading simulation using Markowitz method, for a…

Equity markets have long been regarded as unpredictable, with intraday price movements treated as stochastic noise. This study challenges that view by introducing the Extended Samuelson Model (ESM), a natural science-based framework that…

We propose a profitable trading strategy for the cryptocurrency market based on grid trading. Starting with an analysis of the expected value of the traditional grid strategy, we show that under simple assumptions, its expected return is…

In this paper, we propose a method for evaluating autonomous trading strategies that provides realistic expectations, regarding the strategy's long-term performance. This method addresses This method addresses many pitfalls that currently…

Automated market makers are a popular mechanism used on decentralized exchange, through which users trade assets with each other directly and automatically through a liquidity pool and a fixed pricing function. The liquidity provider…

Regime detection is vital for the effective operation of trading and investment strategies. However, the most popular means of doing this, the two-state Markov-switching regression model (MSR), is not an optimal solution, as two volatility…

We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…

We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The results of Almgren (2003) are based…

This paper presents the implementation of an advanced artificial intelligence-based algorithmic trading system specifically designed for the EUR-USD pair within the high-frequency environment of the Forex market. The methodological approach…

We carry out a large-scale empirical data analysis to examine the efficiency of the so-called pairs trading. On the basis of relevant three thresholds, namely, starting, profit-taking, and stop-loss for the `first-passage process' of the…

In Part III of this study, we apply the price dynamical model with big buyers and big sellers developed in Part I of this paper to the daily closing prices of the top 20 banking and real estate stocks listed in the Hong Kong Stock Exchange.…

Stock trading is one of the popular ways for financial management. However, the market and the environment of economy is unstable and usually not predictable. Furthermore, engaging in stock trading requires time and effort to analyze,…

The lattice gas automaton (LGA) is proposed for a closed economic market of agents with heterogeneous saving interests. There are two procedures in the standard LGA, i.e., "propagation" + "transaction". If the propagation step is removed…