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The Penn-Lehman Automated Trading Project
November/December 2003 (vol. 18 no. 6)
pp. 22-31
ASCII Text
x 
 
Michael Kearns, Luis Ortiz, "The Penn-Lehman Automated Trading Project," IEEE Intelligent Systems, vol. 18, no. 6, pp. 22-31, November/December, 2003.
 
 
BibTex
x
 
@article{ 10.1109/MIS.2003.1249166,
author = {Michael Kearns and Luis Ortiz},
title = {The Penn-Lehman Automated Trading Project},
journal ={IEEE Intelligent Systems},
volume = {18},
number = {6},
issn = {1541-1672},
year = {2003},
pages = {22-31},
doi = {http://doi.ieeecomputersociety.org/10.1109/MIS.2003.1249166},
publisher = {IEEE Computer Society},
address = {Los Alamitos, CA, USA},
}
 
 
RefWorks Procite/RefMan/Endnote
x 
 
TY - MGZN
JO - IEEE Intelligent Systems
TI - The Penn-Lehman Automated Trading Project
IS - 6
SN - 1541-1672
SP22
EP31
EPD - 22-31
A1 - Michael Kearns,
A1 - Luis Ortiz,
PY - 2003
KW - stock market simulation
KW - automated trading
KW - electronic crossing network
VL - 18
JA - IEEE Intelligent Systems
ER -
 
Michael Kearns, University of Pennsylvania
Luis Ortiz, University of Pennsylvania

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.

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, Nov./Dec. 2003, doi:10.1109/MIS.2003.1249166
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