In this paper, a new indicator WARS (Weighted Accumulated Reconstruction Series) at classifying the state of financial market, either trending state or mean-reverting state, was presented. Originated from the computation of Entropy, this new indicator was found to be able to reflect the market behavior accurately and easily. The algorithm of generating WARS and its meaning related to Entropy we...

We describe the Penn-Lehman Automated Trading project, a broad investigation of algorithms and strategies for automated trading in financial markets that centers around the Penn Exchange Simulator (PXS). PXS performs a stock market simulation that integrates virtual client orders with limit order data from real-world electronic exchanges. We describe our motivations and interests, the design an...

We propose a general model underlying the problem of designing trading strategies that leak no information to frontrunners and other exploiters. We study major scenarios in the market and design a family of algorithms that can be proven to leak no information in important scenarios. These algorithms can serve as building blocks for more challenging real-world scenarios beyond our current scope....

The various methods for regularisation of the gravitational few-body problem, from the coordinate transformation by the KustaanheimoStiefel method to the more recent methods of algorithmic regularisation, are reviewed. Numerical comparisons of the performance of the methods are presented and future research suggested.

This paper develops a new performance measurement methodology for algorithmic trading. By adapting capability from the quality control literature, we present new criteria for assessing control, expected tail loss and risk-adjusted performance in a single framework. The multi-scale capability measure we present is more descriptive and more appropriate for algorithmic trading than the traditional...

In this paper we introduce natural time analysis in financial markets. Due to the remarkable results of this analysis on earthquake prediction and the similarities of earthquake data to financial time series, its application in price prediction and algorithmic trading seems to be a natural choice. This is tested through a trading strategy with very encouraging results.

Abstract Symmetry of the world trade network provides a novel perspective to understand the world-wide trading system. However, symmetry in the world trade network (WTN) has been rarely studied so far. In this paper, the authors systematically explore the symmetry in WTN. The authors construct WTN in 2005 and explore the size and structure of its automorphism group, through which the authors fi...

This paper examines the scope, broad principles, and characteristics of Pacific Asia’s economic relationships and cooperation at the regional level. The author addresses the broad issue of whether Asian efforts for regional cooperation and integration have been compatible with similar arrangements elsewhere or with an open multilateral trading system at the global level. The paper also assesses...

We study the evolution of trading in a market-maker trading system (SPAD) introduced to the Prague Stock Exchange in 1998. We find that the new system succeeded in increasing the transparency of the market, improved the price discovery function of the exchange, and that investors have benefited from lowered spreads. From this viewpoint, it may be an example for other markets where lack of trans...