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dc.contributor.authorRaghavendra, Srinivasen
dc.contributor.authorParaschiv, Danielen
dc.contributor.authorVasiliu, Laurentiuen
dc.date.accessioned2009-10-01T15:38:17Zen
dc.date.available2009-10-01T15:38:17Zen
dc.date.issued2008en
dc.identifier.citationRaghavendra, 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.urihttp://hdl.handle.net/10379/325en
dc.description.abstractAlgorithmic 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.formatapplication/pdfen
dc.language.isoenen
dc.publisherNational University of Ireland, Galwayen
dc.relation.ispartofseriesworking papers;0139en
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Ireland
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/3.0/ie/
dc.subjectArtificial stock marketen
dc.subjectDouble auctionen
dc.subjectBack testingen
dc.subjectAlgorithmic tradingen
dc.subjectMACDen
dc.subject.lcshStock marketsen
dc.subject.lcshAlgorithmsen
dc.titleA Framework for Testing Algorithmic Trading Strategiesen
dc.typeWorking Paperen
dc.description.peer-reviewedpeer-revieweden
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Attribution-NonCommercial-NoDerivs 3.0 Ireland
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Ireland