Automatic High-Frequency Trading: An Application to Emerging Chilean Stock Market
Joint Authors
Soto, Ricardo
Paredes, Fernando
Castro, Carlos
de la Fuente-Mella, Hanns
San Martín, Marco Alarcón
Crawford, Broderick
Source
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-09-30
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
This research seeks to design, implement, and test a fully automatic high-frequency trading system that operates on the Chilean stock market, so that it is able to generate positive net returns over time.
A system that implements high-frequency trading (HFT) is presented through advanced computer tools as an NP-Complete type problem in which it is necessary to optimize the profitability of stock purchase and sale operations.
The research performs individual tests of the algorithms implemented, reviewing the theoretical net return (profitability) that can be applied on the last day, month, and semester of real market data.
Finally, the research determines which of the variants of the implemented system performs best, using the net returns as a basis for comparison.
The use of particle swarm optimization as an optimization algorithm is shown to be an effective solution since it is able to optimize a set of disparate variables but is bounded to a specific domain, resulting in substantial improvement in the final solution.
American Psychological Association (APA)
Crawford, Broderick& Soto, Ricardo& San Martín, Marco Alarcón& de la Fuente-Mella, Hanns& Castro, Carlos& Paredes, Fernando. 2018. Automatic High-Frequency Trading: An Application to Emerging Chilean Stock Market. Scientific Programming،Vol. 2018, no. 2018, pp.1-12.
https://search.emarefa.net/detail/BIM-1214767
Modern Language Association (MLA)
Crawford, Broderick…[et al.]. Automatic High-Frequency Trading: An Application to Emerging Chilean Stock Market. Scientific Programming No. 2018 (2018), pp.1-12.
https://search.emarefa.net/detail/BIM-1214767
American Medical Association (AMA)
Crawford, Broderick& Soto, Ricardo& San Martín, Marco Alarcón& de la Fuente-Mella, Hanns& Castro, Carlos& Paredes, Fernando. Automatic High-Frequency Trading: An Application to Emerging Chilean Stock Market. Scientific Programming. 2018. Vol. 2018, no. 2018, pp.1-12.
https://search.emarefa.net/detail/BIM-1214767
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1214767