Issue No. 06 - November/December (2003 vol. 18)
Michael Kearns , University of Pennsylvania
Luis Ortiz , University of Pennsylvania
<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>
stock market simulation, automated trading, electronic crossing network
M. Kearns and L. Ortiz, "The Penn-Lehman Automated Trading Project," in IEEE Intelligent Systems, vol. 18, no. , pp. 22-31, 2003.