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Le trading algorithmique

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  • Victor Lebreton

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

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    Abstract

    The algorithmic trading comes from digitalisation of the processing of trading assets on financial markets. Since 1980 the computerization of the stock market offers real time processing of financial information. This technological revolution has offered processes and mathematic methods to identify best return on transactions. Current research relates to autonomous transaction systems programmed in certain periods and some algorithms. This offers return opportunities where traders can not intervene. There are about thirty algorithms to assist the traders, the best known are the VWAP, the TWAP, TVOL. The algorithms offer the latest strategies and decision-making are the subject of much research. These advances in modeling decision-making autonomous agent can envisage a rich future for these technologies, the players already in use for more than 30% of their trading.

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    Bibliographic Info

    Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number hal-00332823.

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    Date of creation: 21 Apr 2007
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    Handle: RePEc:hal:cesptp:hal-00332823

    Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00332823
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    Related research

    Keywords: marché électronique; algorithme de trading; agent autonome; VWAP; TVOL; Arbitrage:marché financier; passage d'ordre automatisés;

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    1. Coppejans, Mark & Domowitz, Ian, 1999. "Pricing behavior in an off-hours computerized market," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(5), pages 583-607, December.
    2. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 47(5), pages 1731-64, December.
    3. Bollerslev, Tim & Domowitz, Ian & Wang, Jianxin, 1997. "Order flow and the bid-ask spread: An empirical probability model of screen-based trading," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 21(8-9), pages 1471-1491, June.
    4. Mark Austin & Graham Bates & Michael Dempster & Vasco Leemans & Stacy Williams, 2004. "Adaptive systems for foreign exchange trading," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 4(4), pages 37-45.
    5. Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 2(4), pages 251-256.
    6. Brailsford, Timothy J. & Frino, Alex & Hodgson, Allan & West, Andrew, 1999. "Stock market automation and the transmission of information between spot and futures markets," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 9(3-4), pages 247-264, November.
    7. Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Science & Finance (CFM) working paper archive 0203511, Science & Finance, Capital Fund Management.
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