{"title":"Automated trading systems based on order book imbalance","authors":"D. Imaev, D. Imaev","doi":"10.1109/SCM.2017.7970733","DOIUrl":null,"url":null,"abstract":"Discusses automated trading systems modeling and trading algorithm structure from the perspective of system analysis and automatic control theory principles. We consider various modifications of trading algorithm implementation based on order book imbalance. Using computer simulation of the trading process we demonstrate various ideas and approaches to on- and off-line trading algorithm optimization, adaptation and parameter tuning.","PeriodicalId":315574,"journal":{"name":"2017 XX IEEE International Conference on Soft Computing and Measurements (SCM)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2017 XX IEEE International Conference on Soft Computing and Measurements (SCM)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/SCM.2017.7970733","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
Discusses automated trading systems modeling and trading algorithm structure from the perspective of system analysis and automatic control theory principles. We consider various modifications of trading algorithm implementation based on order book imbalance. Using computer simulation of the trading process we demonstrate various ideas and approaches to on- and off-line trading algorithm optimization, adaptation and parameter tuning.
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