Topic
Algorithmic trading
About: Algorithmic trading is a research topic. Over the lifetime, 6718 publications have been published within this topic receiving 162209 citations. The topic is also known as: algotrading & Algorithmic trading.
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Patent•
16 Jun 2011
TL;DR: In this article, the authors described a method comprising of checking the data describing a trading order against one or more sets of conditions, and identifying one or many of the conditions that is satisfied, based on the identified one ormore of the one or multiple sets of condition that is satisfying, identifying a class of trading algorithms appropriate for execution of the trading order, and selecting with a processing system one or several trading algorithms from the identified class of trade algorithms, for executing the trading orders.
Abstract: At least one exemplary aspect comprises a method comprising: (a) receiving electronic data describing a trading order for a market-traded security; (b) checking the data describing the trading order against one or more sets of conditions, and identifying one or more of the one or more sets of conditions that is satisfied; (c) based on the identified one or more of the one or more sets of conditions that is satisfied, identifying a class of trading algorithms appropriate for execution of the trading order; (d) selecting with a processing system one or more trading algorithms from the identified class of trading algorithms, for execution of the trading order; and (e) commencing with the processing system execution of the trading order via the selected one or more trading algorithms; wherein the processing system comprises one or more processors. Other aspects and embodiments comprise related computer systems and software.
38 citations
TL;DR: A Long Short-Term Memory Neural Network is utilized to learn from and improve upon traditional trading algorithms used in technical analysis and shows that the network can learn market behavior and be able to predict when a given strategy is more likely to succeed.
38 citations
Posted Content•
TL;DR: In this article, the authors present an analysis of daily stock price volatility on the London Stock Exchange for the period 1980-93 and find that rather than increasing volatility, index futures contracts are found to have reduced volatility significantly by around 17%.
Abstract: The stock market crash of October 1987 and the growing importance of index arbitrage and portfolio insurance helped to focus the attention of academics, practitioners and regulators on the possibly destabilising role of equity index futures on the underlying cash market. Although theoretical evidence on this question is somewhat ambiguous, empirical evidence, relating particularly to US markets, has been less equivocal: typically, no significant effect of futures trading has been found. This paper presents an analysis of daily stock price volatility on the London Stock Exchange for the period 1980-93. The measure of volatility produced is appropriate, given the distribution of returns and the time-varying nature of stock price volatility, and changes in monetary policy regime. The impact of futures on stock price volatility is measured within an augmented ARCH framework and the principal result is striking: rather than increasing volatility, index futures contracts are found to have reduced volatility significantly by around 17%.
38 citations
TL;DR: In this article, the profitability of non-linear trading rules based on nearest neighbor predictors was investigated for the New York Stock Exchange, and the results suggest that, taking into account transaction costs, the nonlinear trading rule is superior to a risk-adjusted buy-and-hold strategy.
Abstract: In this paper we investigate the profitability of non-linear trading rules based on nearest neighbor predictors. Applying this investment strategy to the New York Stock Exchange, our results suggest that, taking into account transaction costs, the non-linear trading rule is superior to a risk-adjusted buy-and-hold strategy (both in terms of returns and of Sharpe ratios) for the 1998 and 1999 periods of upward trend. In contrast, for the relatively "stable" market period of 2000, we found that both strategies generate equal returns, although the risk-adjusted buy-and-hold strategy yields a higher Sharpe ratio.
38 citations
TL;DR: In this article, the influence of financialization on metal spot prices and in particular on respective volatility has been insufficiently studied, and the potential effects of the lead-lag relationship on futures trading activity of commercial and non-commercial market participants and cash prices and volatility for the major metal commodities: copper, gold, silver, platinum, and palladium.
38 citations