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Efficient trade execution using a genetic algorithm in an order book based artificial stock market

Published: 08 July 2009 Publication History

Abstract

Although there is a plentiful literature on the use of evolutionary methodologies for the trading of financial assets, little attention has been paid to the issue of efficient trade execution. Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument of interest. This paper introduces the concept of trade execution and outlines the limited prior work applying evolutionary computing methods for this task. Furthermore, we build an Agent-based Artificial Stock Market and apply a Genetic Algorithm to evolve an efficient trade execution strategy. Finally we suggest a number of opportunities for future research.

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Swarm package can be obtained from http://www.swarm.org

Cited By

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  • (2021)Receding Horizon Optimization of Large Trade OrdersIEEE Access10.1109/ACCESS.2021.30757009(63865-63875)Online publication date: 2021
  • (2014)Revisiting Agent-Based Models of Algorithmic Trading StrategiesTransactions on Computational Collective Intelligence XVI10.1007/978-3-662-45896-9_4(92-121)Online publication date: 27-Sep-2014
  • (2014)Revisiting Agent-Based Models of Algorithmic Trading StrategiesTransactions on Computational Collective Intelligence XVI10.1007/978-3-662-44871-7_4(92-121)Online publication date: 27-Sep-2014
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      cover image ACM Conferences
      GECCO '09: Proceedings of the 11th Annual Conference Companion on Genetic and Evolutionary Computation Conference: Late Breaking Papers
      July 2009
      1760 pages
      ISBN:9781605585055
      DOI:10.1145/1570256

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      Association for Computing Machinery

      New York, NY, United States

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      Published: 08 July 2009

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      1. algorithmic trading

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      GECCO09: Genetic and Evolutionary Computation Conference
      July 8 - 12, 2009
      Québec, Montreal, Canada

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      View all
      • (2021)Receding Horizon Optimization of Large Trade OrdersIEEE Access10.1109/ACCESS.2021.30757009(63865-63875)Online publication date: 2021
      • (2014)Revisiting Agent-Based Models of Algorithmic Trading StrategiesTransactions on Computational Collective Intelligence XVI10.1007/978-3-662-45896-9_4(92-121)Online publication date: 27-Sep-2014
      • (2014)Revisiting Agent-Based Models of Algorithmic Trading StrategiesTransactions on Computational Collective Intelligence XVI10.1007/978-3-662-44871-7_4(92-121)Online publication date: 27-Sep-2014
      • (2010)Modesty is the best policyProceedings of the 2010 international conference on Applications of Evolutionary Computation - Volume Part II10.1007/978-3-642-12242-2_21(202-211)Online publication date: 7-Apr-2010

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