We devise a USDCHF trading strategy using the dynamics of gold as a filter. Our strategy involves modeling both USDCHF and gold using a coupled hidden Markov model (CHMM). The observations will be indicators, RSI and CCI, which will be used as triggers for our trading signals. Upon decoding the modeling in each iteration, we can get the next most probable state and the next most probable observ...

Foreign Exchange trading has emerged in recent times as a significant activity in many countries. As with most forms of trading, the activity is influenced by many random parameters so that the creation of a system that effectively emulates the trading process will he very helpful. In this paper we try to create such a system with a Genetic Algorithm engine to emulate trader behaviour on the Fo...

We address the question of optimal trading of bandwidth (service) contracts in wireless spectrum markets, for the primary as well as the secondary spectrum providers in this context. We propose a structured spectrum market and consider two basic types of spectrum contracts that can help attain desired flexibilities and trade-offs in terms of service quality, spectrum usage efficiency and pricin...

This report documents the development of an autonomous stock trading agent within the framework of the Penn-Lehman Automated Trading (PLAT) simulator. The three approaches presented take inspiration from reinforcement learning, myopic trading using regression-based price prediction, and market making. The performance of these approaches is assessed separately using a fixed opponent strategy, SO...

This paper is to explore the possibility to use alternative data and artificial intelligence techniques to trade stocks. The efficacy of the daily Twitter sentiment on predicting the stock return is examined using machine learning methods. Reinforcement learning(Q-learning) is applied to generate the optimal trading policy based on the sentiment signal. The predicting power of the sentiment sig...

Volume Weighted Average Price (VWAP) for a traded financial asset is total traded value divided by total traded volume. It is a quality of execution metric popular with institutional traders for measuring the price impact of trading. VWAP is also a ‘virtuous trade’ that minimizes price impact by spreading the liquidity demand of large orders across the trading period. The optimal mean-variance ...

Pairs trading is an investment strategy that depends on the price divergence between a pair of stocks. Essentially, this strategy involves choosing a pair of stocks that historically move together, then taking a long-short position if the pair’s prices diverge, and finally reversing the previous position when prices converge. The rationale of the pairs trading is to make a profit and avoid mark...

Purpose The purpose of this paper is to identify and describe the drivers of trading company strategy that explain trading company success in international business. Design/methodology/approach The strategy tripod that results from combining the industry-, resourceand institution-based views, each of which proposes specific drivers of strategic success, was used as the framework for investigati...

We propose a quantitative approach to some high frequency trading problematics. We are interested in several aspects of this field, from minimizing indirect trading costs to market making, and more generally in profit maximization strategies over a finite time horizon. We build an original framework that reflects specificities of high frequency trading, and especially the distinction between pa...

We consider a multi-player situation in an illiquid market in which one player tries to liquidate a large portfolio in a short time span, while some competitors know of the seller’s intention and try to make a profit by trading in this market over a longer time horizon. We show that the liquidity characteristics, the number of competitors and their trading time horizons determine the optimal st...