Stock Trading System: Framework for Development and Evaluation of Stock Trading Strategies

机译：股票交易系统：发展和评估股票交易策略的框架

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Intelligent stock trading models are becoming valuable advisors in stock markets. While developing such models a big importance is given to its evaluation and comparison with other working models. The paper introduces trading system for stock markets, which is adesigned as a framework for development and evaluation of intelligent decision-making models.

机译：智能股票交易模型正在成为股票市场中有价值的顾问。在开发此类模型时，非常重视其评估以及与其他工作模型的比较。本文介绍了股票交易系统，该系统被设计为开发和评估智能决策模型的框架。

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来源
《International Conference on Computational Science(ICCS 2006) pt.1; 20060528-31; Reading(GB)》|2006年|P.1034-1037|共4页
会议地点 Reading(GB)
作者
Jovita Nenortaite; Alminas Civilis;
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作者单位

Vilnius University, Kaunas Faculty of Humanities, Department of Computer Science, Muitines 8, 44280 Kaunas, Lithuania;

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原文格式 PDF
正文语种 eng
中图分类计算技术、计算机技术;
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1. Evaluation of stock trading performance of students using a web-based virtual stock trading system [J] . Hui-Chi Wu, Chien-Ming Tseng, Po-Chou Chan, Computers & mathematics with applications . 2012,第5期

机译：使用基于网络的虚拟股票交易系统评估学生的股票交易表现
2. A multiple fuzzy inference systems framework for daily stock trading with application to NASDAQ stock exchange [J] . Lincy Rubell Marion G., John Jessy C. Expert Systems with Application . 2016,第FEBa期

机译：每日股票交易的多重模糊推理系统框架及其在纳斯达克证券交易所的应用
3. Classifier Based Stock Trading Recommender Systems for Indian stocks: An Empirical Evaluation [J] . Computational economics . 2020,第3期

机译：基于分类器的印度股票股票交易推荐系统：一项实证评估
4. Stock Trading System: Framework for Development and Evaluation of Stock Trading Strategies [C] . Jovita Nenortaite, Alminas civilis International Conference on Computational Science pt.1 . 2006

机译：股票交易系统：股票交易策略的开发和评估框架
5. Optimizing Investment Portfolios by Identification and Forecasting of Stock Bubbles for Selected Stocks Traded on the New York Stock Exchange. [D] . Robberts, Theunis Christoffel. 2017

机译：通过识别和预测在纽约证券交易所交易的选定股票的股票泡沫来优化投资组合。
6. The Illogicality of Stock-Brokers: Psychological Experiments on the Effects of Prior Knowledge and Belief Biases on Logical Reasoning in Stock Trading [O] . Markus Knauff, Claudia Budeck, Ann G. Wolf, 2010

机译：股票经纪人的不合理性：关于先验知识和信仰偏见对股票交易中逻辑推理影响的心理实验
7. We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market impact”) in the end leading to higher transaction costs. On the other hand the Iceberg trader faces a loss-in-priority when he hides his intentions, as most electronic limit order books penalize the usage of hidden liquidity. Thus the Iceberg-trader is faced with the problem to find the right trade-off. Our model provides optimal exposure strategies for Iceberg traders in limit order book markets. In particular, we provide a range of analytical statements that are in line with recent empirical findings on the determinants of trader’s exposure strategies. In this framework, we also study the market impact also market impact of limit orders. We provide optimal exposure profiles for a range of hightech stocks from the US SP500 and how they scale with the state-of-the-book. We finally test the Iceberg’s performance against the limit orders and find that Iceberg orders can significantly enhance trade performance by up to 60. [O] . Gökhan Cebiro˜glu, Ulrich Horst 100

机译：我们在限价订单簿中开发了冰山订单执行的顺序交易模型。 Iceberg-trader可以自由地揭露他的交易意图，或者（部分）屏蔽其他市场参与者的真实订单规模。订单暴露最终会导致市场反应激烈（“市场影响”），导致交易成本上升。另一方面，冰山交易员在隐藏他的意图时面临优先权损失，因为大多数电子限价订单都会惩罚隐藏流动性的使用。因此，冰山商人面临着找到正确权衡的问题。我们的模型为限额订单市场中的冰山交易者提供了最佳的风险敞口策略。特别是，我们提供了一系列分析性陈述，这些陈述与最近关于交易者暴露策略决定因素的实证研究结果一致。在此框架下，我们还研究了市场影响以及限价订单的市场影响。我们为来自美国标准普尔500指数的一系列高科技股票提供最佳曝光配置文件，以及它们如何随着本书的规模扩展。我们最终根据极限订单测试了冰山的表现，发现冰山订单可以显着提升贸易业绩高达60％。

Stock Trading System: Framework for Development and Evaluation of Stock Trading Strategies

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