The Penn-Lehman automated trading project

Abstract

The Penn-Lehman automated trading project is a broad investigation of algorithms and strategies for automated trading in financial markets. The PLAT project's centerpiece is the Penn exchange simulator (PXS), a software simulator for automated stock trading that merges automated client orders for shares with real-world, real-time order data. PXS automatically computes client profits and losses, volumes traded, simulator and external prices, and other quantities of interest. To test the effectiveness of PXS and of various trading strategies, we've held three formal competitions between automated clients.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 89 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.