Trading Orders Algorithm Development

2017 ◽  
pp. 107-126 ◽  
Author(s):  
Bronislav Klapuch
Keyword(s):  
Financial Markets ◽  
Historical Data ◽  
Trading System ◽  
Algorithm Development ◽  
Architectural Elements ◽  
Currency Market ◽  
Historical Periods

The chapter puts into the business of financial markets area in greater detail at FOREX currency market. It describes the main methods used for in currencies trade. The main goal of this paper is to explain the principle of creating an Automated Trading System (ATS) with the MQL4 language. The chapter shows concrete architectural elements of the program on the demonstration examples and it is a guide for the development of an ATS. The main benefit is creation of the original trading system, which optimizes an ATS usage on the base of historical data in practice. Optimization of the trading parameters is based on the equity performance in the historical periods.

Survey of Trading Systems for Individual Investors

2011 ◽  
pp. 157-176 ◽  
Author(s):  
M. Kersch ◽  
G. Schmidt
Keyword(s):  
Financial Markets ◽  
Stock Exchange ◽  
Point Of View ◽  
Individual Investors ◽  
Individual Investor ◽  
Trading System ◽  
Trading Systems ◽  
Trading Decisions ◽  
The Individual

Trading decisions in financial markets can be supported by the use of trading algorithms. To evaluate trading algorithms and to generate orders to be executed on the stock exchange trading systems are used. In this chapter, we define the individual investors’ requirements on a trading system, and analyze 17 trading systems from an individual investor’s point of view. The results of our study point out that the best alternative for an individual investor is not one single trading system, but a combination of two different classes of trading systems.

scholarly journals Does Evidence Challenge the Dsge Model?

2014 ◽  
Vol 2 (2) ◽  
pp. 15-24
Author(s):  
Tanya Araújo ◽  
Sofia Terlica ◽  
Samuel Eleutério ◽  
Francisco Louçã
Keyword(s):  
Financial Markets ◽  
Historical Data ◽  
Central Banks ◽  
Dsge Model ◽  
Monetary Policies ◽  
Return To Equilibrium ◽  
Basic Assumptions

ABSTRACT DSGE are for a time the favorite models in the simulation of monetary policies at the central banks. Two of its basic assumptions are discussed in this paper: (a) the absence of endogenous nonlinearities and the exogenous nature of shocks and (b) the persistence of or the return to equilibrium after a shock, or the absence of dynamics. Our analysis of complex financial markets, using historical data of S&P500, suggests otherwise that financial regimes endogenously change and that equilibrium is an artifact.

A Study on Foreign Banks‘ Short Borrowings and Volatilities of Stock Markets & FX Markets in Korea: Focus on aTe Derivatives

2015 ◽  
Vol 23 (1) ◽  
pp. 125-153
Author(s):  
Young Sook Suh
Keyword(s):  
Financial Markets ◽  
Stock Markets ◽  
Historical Data ◽  
Liquidity Risk ◽  
Foreign Banks ◽  
Short Term ◽  
Call Markets ◽  
Otc Derivatives ◽  
Funding Sources

This study examines how FX OTC derivatives transactions of foreign banks’ branches funded by short term borrowings affect the volatility of stock markets and FX markets in Korea based on historical data. It founds that they use call money for FX-derivatives trading, rather than borrowings from their Head Quarter. This result also proves that their derivatives trading is funded by call market increasing stock markets’ volatility in Korea, even if foreign banks’ branches have been using various funding sources. Also the role of foreign banks’ branches as FX money supplier for the korean local banks effects to stock markets by increasing the volatility via call markets. On the other hands, derivatives liabilities of foreign banks’ branches tend to increase volatility of the korean stock markets, but their derivatives assets tend to decrease the volatility. This result together with O/N dollar call volatility should be regarded as a kind of liquidity risk because they could give serious impacts to Korean financial markets if shocks break out. When considering the main revenue source of foreign banks’ branches, derivatives trading creates much higher leverage effects to them than korean local banks, and their roles in financial and capital markets of Korea this study provides with a reason that regulators should give complex and multilateral attentions to foreign banks’ branches.

scholarly journals TRADER DYNAMICS IN A MODEL MARKET

2000 ◽  
Vol 03 (03) ◽  
pp. 443-450 ◽  
Author(s):  
NEIL F. JOHNSON ◽  
MICHAEL HART ◽  
PAK MING HUI ◽  
DAFANG ZHENG
Keyword(s):  
Financial Markets ◽  
Historical Data ◽  
Market Price ◽  
Heterogeneous Population ◽  
Market Participants ◽  
Time Horizons ◽  
Large Fluctuations ◽  
Individual Traders ◽  
Model Market ◽  
Insight Into

We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing "time horizons" when making predictions based on historical data. The resulting average winnings per trader is a highly non-linear function of the population's composition. Second, we introduce a threshold confidence level among traders below which they will not trade. This can give rise to large fluctuations in the "volume" of market participants and the resulting market "price".

scholarly journals Does evidence challenge the DSGE model?

2014 ◽  
Vol 2 (2) ◽  
Author(s):  
Tanya Araújo ◽  
Sofia Terlica ◽  
Samuel Eleutério ◽  
Francisco Louçã
Keyword(s):  
Financial Markets ◽  
Historical Data ◽  
Central Banks ◽  
Dsge Model ◽  
Monetary Policies ◽  
Return To Equilibrium ◽  
Basic Assumptions

DSGE are for a time the favorite models in the simulation of monetary policies at the central banks. Two of its basic assumptions are discussed in this paper: (a) the absence of endogenous nonlinearities and the exogenous nature of shocks and (b) the persistence of or the return to equilibrium after a shock, or the absence of dynamics. Our analysis of complex financial markets, using historical data of S&P500, suggests otherwise that financial regimes endogenously change and that equilibrium is an artifact.

scholarly journals Algorithmic trading based on the fear of Covid-19 in Europe

2021 ◽  
Vol 10 (2) ◽  
pp. 295-304
Author(s):  
Raúl Gómez Martínez ◽  
Camilo Prado Román ◽  
Gabriel Cachón Rodríguez
Keyword(s):  
Financial Markets ◽  
Behavioral Finance ◽  
Algorithmic Trading ◽  
Trading System ◽  
Technical Indicators ◽  
The Future

he spread of Covid-19 in Europe has affected our way of living, thinking, and even investing. The fear of the epidemic caused a context of maximum uncertainty and volatility in financial markets, which were driven by fear of the spread of the epidemic. In this article we propose an algorithmic trading system on the future of the Eurostoxx 50 that, instead of following technical indicators, follows the number of cases confirmed by Covid-19 in Europe. The back test of this system carried out throughout the weeks of confinement shows that the system is profitable. In this context, confirmed cases data is useful to assess investors’ mood and anticipate the evolution of the market. Therefore, an alternative way of investing arises for maximum uncertainty contexts, based exclusively on behavioral finance.

scholarly journals Pattern Matching Trading System Based on the Dynamic Time Warping Algorithm

2018 ◽  
Author(s):  
Sang Hyuk Kim ◽  
Hee Soo Lee ◽  
Hanjun Ko ◽  
Seung Hwan Jeong ◽  
Hyun Woo Byun ◽  
...  
Keyword(s):  
Financial Markets ◽  
Real Time ◽  
Pattern Matching ◽  
Dynamic Time Warping ◽  
Series Data ◽  
Time Warping ◽  
Trading System ◽  
Index Futures ◽  
Data Movement ◽  
Dynamic Time

The futures market plays a significant role in hedging and speculating by investors. Although various models and instruments are developed for real-time trading, it is difficult to realize profit by processing and trading a vast amount of real-time data. This study proposes a real-time index futures trading strategy that uses the pattern of KOSPI 200 index futures time series data. We construct a pattern matching trading system (PMTS) based on a dynamic time warping algorithm that recognizes patterns of market data movement in the morning and determines the afternoon's clearing strategy. We adopt 13 and 27 representative patterns and conduct simulations with various ranges of parameters to find optimal ones. Our experimental results show that the PMTS provides stable and effective trading strategies with relatively low trading frequencies. Investor communities that have sustained financial markets are able to make more efficient investments by using the PMTS. In this sense, the system developed in this paper is a sustainable investment technique and helps financial markets achieve efficient sustainability.

scholarly journals The Effectiveness of the Elliott Waves Theory to Forecast Financial Markets: Evidence from the Currency Market

2017 ◽  
Vol 10 (6) ◽  
pp. 1
Author(s):  
Eugenio D’Angelo ◽  
Giulio Grimaldi
Keyword(s):  
Exchange Rate ◽  
Financial Markets ◽  
Technical Analysis ◽  
Great Accuracy ◽  
Fundamental Analysis ◽  
Currency Markets ◽  
Currency Market ◽  
The Exchange Rate ◽  
The U.S

The purpose of this paper is to investigate the capability of a technical analysis to be used as a valuable tool in forecasting financial markets. After discussing the primary theoretical and methodological differences that oppose the fundamental analysis and technical analysis and introducing the Elliott waves theory, the paper focuses on the results obtained after applying this method to the currency market. The results show that during the period from 2009-2015, the exchange rate between the U.S. dollar and euro could be forecasted with great accuracy. A potential future pattern is also proposed for the exchange rate beginning in March 2017. The research confirmed the usefulness of Elliott’s model for predicting currency markets, and the effectiveness of the fundamental analysis theories generally adopted for academic studies was evaluated.

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