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Issue No.06 - November/December (2003 vol.18)
pp: 22-31
Michael Kearns , University of Pennsylvania
Luis Ortiz , University of Pennsylvania
ABSTRACT
<p>The Penn-Lehman Automated Trading Project is a broad investigation of algorithms and strategies for automated trading in financial markets. The project centers around the Penn Exchange Simulator, which performs a stock market simulation that integrates virtual client orders with limit order data from real-world electronic exchanges. As part of the project, several competitions have involved a diverse set of 14 automated trading clients submitted by more than 30 participants.</p>
INDEX TERMS
stock market simulation, automated trading, electronic crossing network
CITATION
Michael Kearns, Luis Ortiz, "The Penn-Lehman Automated Trading Project", IEEE Intelligent Systems, vol.18, no. 6, pp. 22-31, November/December 2003, doi:10.1109/MIS.2003.1249166
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