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A Framework for Testing Algorithmic Trading Strategies

ARAN - Access to Research at NUI Galway

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dc.contributor.author Raghavendra, Srinivas en
dc.contributor.author Paraschiv, Daniel en
dc.contributor.author Vasiliu, Laurentiu en
dc.date.accessioned 2009-10-01T15:38:17Z en
dc.date.available 2009-10-01T15:38:17Z en
dc.date.issued 2008 en
dc.identifier.citation Raghavendra, S., Paraschiv, D. & Vasiliu L. (2008) "A Framework for Testing Algorithmic Trading Strategies" (Working Paper No. 0139) Department of Economics, National University of Ireland, Galway. en
dc.identifier.uri http://hdl.handle.net/10379/325 en
dc.description.abstract Algorithmic trading and artificial stock markets have generated huge interest not only among brokers and traders in the financial markets but also across various disciplines in the academia. The emergence of algorithmic trading has created a new environment where the classic way of trading requires new approaches. In order to understand the impact of such a trading process on the functioning of the market, new tools, theories and approaches need to be created. Thus artificial stock markets have emerged as simulation environments to test, understand and model the impact of algorithmic trading, where humans and software agents may compete on the same market. The purpose of this paper is to create a framework to test and analyse various trading strategies in a dedicated artificial environment. en
dc.format application/pdf en
dc.language.iso en en
dc.publisher National University of Ireland, Galway en
dc.relation.ispartofseries working papers;0139 en
dc.subject Artificial stock market en
dc.subject Double auction en
dc.subject Back testing en
dc.subject Algorithmic trading en
dc.subject MACD en
dc.subject.lcsh Stock markets en
dc.subject.lcsh Algorithms en
dc.title A Framework for Testing Algorithmic Trading Strategies en
dc.type Working Paper en
dc.description.peer-reviewed peer-reviewed en

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