For nearly a decade the potential benefits of Business-to-Business electronic commerce for business efficiency and competitiveness have been vigorously promoted by business, industry groups and governments. The belief underpinning policy is that from a small initial step, eCommerce will become a central part of their business strategies. This paper considers the use of B-2-B electronic transact...

Trading-rule representation is an important factor to consider when designing a quantitative trading system. This study implements a trading strategy as a rule-based policy. The result is an intuitive human-readable format which allows for seamless integration of domain knowledge. The components of a policy are specified and represented as a set of rewrite rules in a context-free grammar. These...

We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution strategy uses both venues continuously. The order size in the dark pool can overor underrepresent the portf...

In this paper, we present a novel multi-layered framework for designing strategies for trading agents. The objective of this work is to provide a framework that will assist strategy designers with the different aspects involved in designing a strategy. At present, such strategies are typically designed in an ad-hoc and intuitive manner with little regard for discerning best practice or attainin...

Trend following (TF) is trading philosophy by which buying/selling decisions are made solely according to the observed market trend. For many years, many manifestations of TF such as a software program called Turtle Trader, for example, emerged in the industry. Surprisingly little has been studied in academic research about its algorithms and applications. Unlike financial forecasting, TF does ...

The last decade has witnessed a dramatic increase in both the number and the market share of screen-based trading systems. Electronic trading systems do offer lower operating costs and the possibility of remote access to the market. On the other hand, arguments based on the anonymity of electronic trading systems suggest that adverse selection may be a more severe problem and that, therefore, b...

The aim of this work is to show how automated traders can operate a futures market. First, we established some hypothesises on the properties of the ’correct’ price pattern which translates accurately the underlying moves in the supply/demand balance and the nominal price, then mathematical measures were derived allowing to estimate the efficiency of a given trading strategy. As a starting step...

In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of the underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of admissible controls under this problem setup. Specifically, we establish a rigorous first order approximation of the value function associated to a fixed zero...

This chapter illustrates a data-mining approach to single-position day trading which uses an evolutionary algorithm to construct a fuzzy predictive model of a financial instrument. The model is expressed as a set of fuzzy IF-THEN rules. The model takes as inputs the open, high, low, and close prices, as well as the values of a number of popular technical indicators on day t and produces a go sh...