Peter Stone's Selected Publications

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Two Stock-Trading Agents: Market Making and Technical Analysis

Yi Feng, Ronggang Yu, and Peter Stone. Two Stock-Trading Agents: Market Making and Technical Analysis. In Peyman Faratin, David C. Parkes, Juan A. Rodriguez-Aguilar, and William E. Walsh, editors, Agent Mediated Electronic Commerce V: Designing Mechanisms and Systems, Lecture Notes in Artificial Intelligence, pp. 18–36, Springer Verlag, 2004.
AMEC-2003

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Abstract

Evolving information technologies have brought computational power and real-time facilities into the stock market. Automated stock trading draws much interest from both the fields of computer science and of business, since it promises to provide superior ability in a trading market than any individual trader. Trading strategies have been proposed and practiced from the perspectives of Artificial Intelligence, market making, external information feedback, technical analysis etc. This paper examines two automated stock-trading agents in the context of the Penn-Lehman Automated Trading (PLAT) simulator, which is a real-time, real-data market simulator. The first agent devises a market-making strategy exploiting market volatility without predicting the exact direction of the stock price movement. The second agent uses technical analysis. It might seem natural to buy when the market is on the rise and sell when it's on the decline, but the second agent does exactly the opposite. As a result, we call it the reverse strategy. The strategies used by both agents are adapted for automated trading. Both agents performed well in the PLAT live competition. In this paper, we analyze the performance of these two automated trading strategies. Comparisons between them are also provided.

BibTeX Entry

@InCollection(AMEC03,
        author = "Yi Feng and Ronggang Yu and Peter Stone",
        title="Two Stock-Trading Agents: Market Making and Technical Analysis",
        booktitle="Agent Mediated Electronic Commerce {V}: Designing Mechanisms and Systems",
        editor="Peyman Faratin and David C.\ Parkes and Juan A.\ Rodriguez-Aguilar and William E.\ Walsh",
        series="Lecture Notes in Artificial Intelligence",      
        publisher="Springer Verlag",
        volume="3048",
        year="2004",
        pages="18--36",
        abstract={
                  Evolving information technologies have brought
                  computational power and real-time facilities into
                  the stock market. Automated stock trading draws much
                  interest from both the fields of computer science
                  and of business, since it promises to provide
                  superior ability in a trading market than any
                  individual trader. Trading strategies have been
                  proposed and practiced from the perspectives of
                  Artificial Intelligence, market making, external
                  information feedback, technical analysis etc. This
                  paper examines two automated stock-trading agents in
                  the context of the Penn-Lehman Automated Trading
                  (PLAT) simulator, which is a real-time, real-data
                  market simulator. The first agent devises a
                  market-making strategy exploiting market volatility
                  without predicting the exact direction of the stock
                  price movement. The second agent uses technical
                  analysis. It might seem natural to buy when the
                  market is on the rise and sell when it's on the
                  decline, but the second agent does exactly the
                  opposite. As a result, we call it the reverse
                  strategy. The strategies used by both agents are
                  adapted for automated trading. Both agents performed
                  well in the PLAT live competition. In this paper, we
                  analyze the performance of these two automated
                  trading strategies.  Comparisons between them are
                  also provided.
        },
        wwwnote={<a href="http://www.iiia.csic.es/amecv/">AMEC-2003</a>},
)

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