efficient trade execution using a genetic algorithm in an order book based artificial stock market
Although there is a plentiful literature on the use of evolutionary methodologies for the trading of financial assets, little attention has been paid to the issue of efficient trade execution. Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument of interest. This paper introduces the concept of trade execution and outlines the limited prior work applying evolutionary computing methods for this task. Furthermore, we build an Agent-based Artificial Stock Market and apply a Genetic Algorithm to evolve an efficient trade execution strategy. Finally we suggest a number of opportunities for future research.
algorithmic trading