TAILIEUCHUNG - Three Automated Stock-Trading Agents: A Comparative Study

The GCC was established in 1981 and it includes six countries, namely, Bahrain, Oman, Kuwait, Qatar, Saudi Arabia and the United Arab Emirates (UAE). GCC countries share several common patterns. Together, they produce about 20% of all world oil, control 36% of world oil exports and possess 47% of proven reserves. Oil exports largely determine earnings, government budget revenues and expenditures and aggregate demand. Table 1 shows some key financial indicators for the GCC economies. The contributions of oil to GDP range from 22% in Bahrain to 44% in Saudi Arabia. Moreover, Table 1 indicates that for the three largest. | Three Automated Stock-Trading Agents A Comparative Study Alexander A. Sherstov and Peter Stone The University of Texas at Austin Department of Computer Sciences Austin TX 78712 USA sherstov pstone @ Abstract. This paper documents the development of three autonomous stocktrading agents within the framework of the Penn Exchange Simulator PXS a novel stock-trading simulator that takes advantage of electronic crossing networks to realistically mix agent bids with bids from the real stock market 1 . The three approaches presented take inspiration from reinforcement learning myopic trading using regression-based price prediction and market making. These approaches are fully implemented and tested with results reported here including individual evaluations using a fixed opponent strategy and a comparative analysis of the strategies in a joint simulation. The market-making strategy described in this paper was the winner in the fall 2003 PLAT live competition and the runner-up in the spring 2004 live competition exhibiting consistent profitability. The strategy s performance in the live competitions is presented and analyzed. 1 Introduction Automated stock trading is a burgeoning research area with important practical applications. The advent of the Internet has radically transformed the nature of stock trading in most stock exchanges. Traders can now readily purchase and sell stock from a remote site using Internet-based order submission protocols. Additionally traders can monitor the contents of buy and sell order books in real time using a Web-based interface. The electronic nature of the transactions and the availability of up-to-date order-book data make autonomous stock-trading applications a promising alternative to immediate human involvement. The work reported here was conducted in the Penn Exchange Simulator PXS a novel stock-trading simulator that takes advantage of electronic crossing networks to realistically mix agent bids with bids from the real

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