Optimization of Automated Trading System`s Interaction with Market Environment

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62690094%3A18450%2F10%3A00002904" target="_blank" >RIV/62690094:18450/10:00002904 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Optimization of Automated Trading System`s Interaction with Market Environment

Popis výsledku v původním jazyce

This paper is focused on the automated trading systems (ATS) design and optimization. In a preparation phase before use, an optimization of interaction of such systems with its intended market environment should be done. The technical analysis indicatorsare most frequently used in ATS. Optimization is done by testing of different settings of MACD indicator and optimal settings depend heavily on market parameters. The intended use of the ATS is to perform its activity independently to some extend (depending on user`s preferences). The main aim is to enhance automated trading system performance, in order to improve its usefulness and acceptability for the user. Paper will be focused on futures markets only (Chicago and New York), but results are applicable to other areas of trading as well.

Název v anglickém jazyce

Optimization of Automated Trading System`s Interaction with Market Environment

Popis výsledku anglicky

This paper is focused on the automated trading systems (ATS) design and optimization. In a preparation phase before use, an optimization of interaction of such systems with its intended market environment should be done. The technical analysis indicatorsare most frequently used in ATS. Optimization is done by testing of different settings of MACD indicator and optimal settings depend heavily on market parameters. The intended use of the ATS is to perform its activity independently to some extend (depending on user`s preferences). The main aim is to enhance automated trading system performance, in order to improve its usefulness and acceptability for the user. Paper will be focused on futures markets only (Chicago and New York), but results are applicable to other areas of trading as well.

Druh

D - Stať ve sborníku

CEP obor

IN - Informatika

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F09%2F0662" target="_blank" >GA402/09/0662: Rozhodovací procesy v autonomních systémech</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2010

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Perspectives in business informatics research : 9th international conference, BIR 2010

ISBN

978-3-642-16100-1

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

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Název nakladatele

Springer

Místo vydání

Heidelberg

Místo konání akce

Rostock, Německo

Datum konání akce

1. 1. 2010

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000286483200005