Develop a series of simulation experiments that enable studying the performance of adaptive automated trading strategies that can choose between more than one possible venue for executing a trade. Explore the performance of automated trading algorithms AA and ZIP in multi-venue environments.
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Evolvement of algorithmic trading
- The brief history of algo trading and electronic markets.
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The impact of algorithmic trading on markets
- Many changes in the equity markets and their trading processes have occurred.
- A lit or light pool market will allow traders to see the amount of liquidity that is posted on the bid and offer of the order book
- HFT became so pervasive that it grew increasingly difficult to execute large trades through a single exchange
- Several of the investment banks established private exchanges to avoid the transparency of public exchanges and ensure liquidity for large block trades, which came to be known as dark pools.
- The motivation of adaptive automated trading strategies which can choose between more than one possible venue for executing a trade.
- Strategies for automated trading.
- Performance analysis of AA and ZIP.
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Simulation of multi-venue
- London Stock Exchange’s Turquoise PlatoTM venue
- Bristol Stock Exchange (BSE) open-source simulator
- Simulation of lit-market, dark-market(with different liquidity)
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Exploration of AA and ZIP
- perform cross-market trading.
- compare the performance.
- analyse the performance.