Dynamic trade execution : a grammatical evolution approach

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dc.contributor.author Cui, Wei
dc.contributor.author Brabazon, Anthony
dc.contributor.author O'Neill, Michael
dc.date.accessioned 2012-02-23T10:26:18Z
dc.date.available 2012-02-23T10:26:18Z
dc.date.copyright 2011 Inderscience Enterprises Ltd. en
dc.date.issued 2011-02
dc.identifier.citation International Journal of Financial Markets and Derivatives en
dc.identifier.issn 1756-7130 (Print)
dc.identifier.issn 1756-7149 (Online)
dc.identifier.uri http://hdl.handle.net/10197/3530
dc.description.abstract Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument. Investors wishing to execute large orders face a tradeoff between market impact and opportunity cost. Trade execution strategies are designed to balance out these costs, thereby minimising total trading cost. Despite the importance of optimising the trade execution process, this is difficult to do in practice due to the dynamic nature of markets and due to our imperfect understanding of them. In this paper, we adopt a novel approach, combining an evolutionary methodology whereby we evolve high-quality trade execution strategies, with an agent-based artificial stock market, wherein the evolved strategies are tested. The evolved strategies are found to outperform a series of benchmark strategies and several avenues are suggested for future work. en
dc.description.sponsorship Science Foundation Ireland en
dc.format.extent 358733 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Inderscience Enterprises en
dc.relation.requires Business Research Collection en
dc.subject Algorithmic trading en
dc.subject AT en
dc.subject Trade execution en
dc.subject Artificial stock market en
dc.subject Evolutionary computation en
dc.subject EC en
dc.subject Grammatical evolution en
dc.subject GE en
dc.subject Financial markets en
dc.subject.lcsh Financial instruments en
dc.subject.lcsh Evolutionary computation en
dc.subject.lcsh International finance en
dc.subject.lcsh Stock exchanges--Computer simulation en
dc.subject.lcsh Multiagent systems en
dc.title Dynamic trade execution : a grammatical evolution approach en
dc.type Journal Article en
dc.internal.availability Full text available en
dc.internal.webversions http://dx.doi.org/10.1504/IJFMD.2011.038526 en
dc.status Peer reviewed en
dc.identifier.volume 2 en
dc.identifier.issue 1/2 en
dc.identifier.startpage 4 en
dc.identifier.endpage 31 en
dc.identifier.doi 10.1504/IJFMD.2011.038526
dc.neeo.contributor Cui|Wei|aut| en
dc.neeo.contributor Brabazon|Anthony|aut| en
dc.neeo.contributor O'Neill|Michael|aut| en
dc.description.admin 6M embargo expired on 11/07/2011 - AV 16/01/2012; ti, ke, ab - TS 02.12 en

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