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An agent strategy for automated stock market trading combining price and order book information

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2 Author(s)
G. C. Silaghi ; Fac. of Economic Sci., Babes-Bolyai Univ., Cluj-Napoca, Romania ; V. Robu

This paper proposes a novel automated agent strategy for stock market trading, developed in the context of the Penn-Lehman automated trading (PLAT) simulation platform by Kearns, M., and Ortiz, L., (2003). We provide a comprehensive experimental validation of our strategy using historic order book data from the NASDAQ market

Published in:

2005 ICSC Congress on Computational Intelligence Methods and Applications

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