Performance Analysis of a Counter-intuitive Automated Stock ...
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Performance Analysis of a Counter-intuitive Automated Stock-Trading Agent Ronggang Yu and Peter Stone Depar tment of Computer Sciences The University of Texas at Austin http://www.cs.utexas.edu/~{ryu, pstone} ABSTRACT Autonomous trading in stock markets is an area of great interest in both academic and commercial circles. A lot of trading strategies have been proposed and practiced from the perspectives of Artificial Intelligence, market making, external data indication, technical analysis, etc. This paper examines some properties of a counter-intuitive automated stock-trading strategy in the context of the Penn-Lehman Automated Trading (PLAT) simulator [1], which is a realtime, real-data market simulator. While it might seem natural to buy when the market is on the rise and sell when it is on the decline, our strategy does exactly the opposite. As a result, we call it the reverse strategy. The reverse strategy was the winner strategy in the first and second PLAT live competitions. In this paper, we analyze the performance Ebook Relate: trading ebook strategy ebook stock ebook automated ebook market ebook counter intuitive ebook automated stock ebook intuitive automated ebook reverse strategy ebook counter intuitive automated ebook intuitive automated stock ebook the reverse strategy ebook |
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