TAILIEUCHUNG - Two Stock-Trading Agents: Market Making And Technical Analysis

As previously mentioned, preferred stocks are junior to the debt obligations of the company and senior to common equity. Figure 3 shows the priority of various security types in a typical capital structure. In this graph we scaled the order of priority by the average proportion of each security type for financial and non-financial firms in the S&P 500, in order to highlight not only the priority but also the different relative importance of each security type for financial versus non-financial firms. When a firm is liquidated, debt holders are paid first. If debt holders are. | Two Stock-Trading Agents Market Making and Technical Analysis Yi Feng Ronggang Yu Peter Stone Department of Computer Sciences The University of Texas at Austin http fengyi ryu pstone Abstract. Evolving information technologies have brought computational power and real-time facilities into the stock market. Automated stock trading draws much interest from both the fields of computer science and of business since it promises to provide superior ability in a trading market to any individual trader. Trading strategies have been proposed and practiced from the perspectives of Artificial Intelligence market making external information feedback and technical analysis among others. This paper examines two automated stock-trading agents in the context of the Penn-Lehman Automated Trading PLAT simulator 1 which is a real-time real-data market simulator The first agent devises a market-making strategy exploiting market volatility without predicting the exact direction of the stock price movement The second agent uses technical analysis. It might seem natural to buy when the market is on the rise and sell when it s on the decline but the second agent does exactly the opposite. As a result we call it the reverse strategy. The strategies used by both agents are adapted for automated trading. Both agents performed well in a PLAT live competition In this paper we analyze the performance of these two automated trading strategies. Comparisons between them are also provided. 1 Introduction With the arrival of the information era major stock markets such as the NASDAQ are now electronic. The NASDAQ is a distributed trading system completely run through networked computers. It allows customers best bids and offers to be displayed and represented on the NASDAQ by their brokers or through ECNs Electronic Crossing Networks which are electronic trading systems that match buy and sell orders automatically. ECNs such as Island 2 Archipelago 3 and Bloomberg 4 allow customers

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