Performance Analysis of a Counter-Intuitive Automated Stock-Trading Agent

Proceedings of the ACM Conference on Electronic Commerce

Volumn 5, Issue , 2003, Pages 40-46

  Yu, Ronggang ^a   Stone, Peter ^a  

^a University of Texas at Austin   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

AUTONOMOUS TRADING; PENN-LEHMAN AUTOMATED TRADING (PLAT); REVERSE STRATEGY; STOCK MARKETS; WINNER STRATEGY;

AUTONOMOUS AGENTS; COMPUTER SIMULATION; DECISION MAKING; LINEAR SYSTEMS; OPTIMIZATION; REAL TIME SYSTEMS; TELECOMMUNICATION NETWORKS;

ARTIFICIAL INTELLIGENCE;

EID: 1142268201     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (11)

1. The Penn-Lehman Automated Trading Project: http://www.cis.upenn.edu/̃mkearns/projects/pat.html
2. Archipelago: http://www.tradearca.com
3. Bloomberg: http://www.bloomberg.com
4. Island: http://www.island.com
5. The 2002 annual report of Securities Industry Foundation for Economic Education, 2002: http://www.sia.com/about_sia/pdf/annual2002.pdf
6. Virtual Stock Exchange: http://www.virtualstockexchange.com
7. R. Freedman et. al., eds., Artificial Intelligence in Capital Markets, Chicago, IL: Probus Pub., 1995.
8. A. Skabar and I. Cloete. "Discovery of Financial Trading Rules." In Proc. Artificial Intelligence and Applications, pp. 121-125, 2001.
9. J. Kingdon. Intelligent Systems and Financial Forecasting. New York. NY: Springer, 1997.
10. M. Sheimo. Stock Market Rules: 50 of the most widely held investment axioms explained, examined and exposed, Chicago, IL: Probus Pub., 1991.
11. P. Stone and A. Greenwald, "The First International Trading Agent Competition: Autonomous Bidding Agents". Electronic Commerce Research, 2003 (to appear).