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Digital Library

of the European Council for Modelling and Simulation

 

Title:

A Hierarchical Simulation Based Software Architecture For Back-Testing And Automated Trading

Authors:

Arne Koors, Bernd Page

Published in:

 

(2011).ECMS 2011 Proceedings edited by: T. Burczynski, J. Kolodziej, A. Byrski, M. Carvalho. European Council for Modeling and Simulation. doi:10.7148/2011 

 

ISBN: 978-0-9564944-2-9

 

25th European Conference on Modelling and Simulation,

Jubilee Conference

Krakow, June 7-10, 2011

 

Citation format:

Koors, A., & Page, B. (2011). A Hierarchical Simulation Based Software Architecture For Back-Testing And Automated Trading. ECMS 2011 Proceedings edited by: T. Burczynski, J. Kolodziej, A. Byrski, M. Carvalho (pp. 275-282). European Council for Modeling and Simulation. doi:10.7148/2011-0275-0282

DOI:

http://dx.doi.org/10.7148/2011-0275-0282

Abstract:

Financial markets are highly complex adaptive systems. This paper deals with the application of simulators in software architectures for back-testing and automating financial market trading strategies. It characterizes traits and problems of algorithmic trading and describes the established use of simulators in back-testing and auto- mated trading. A new approach in the form of a hier- archical software architecture is introduced, containing simulators as integral parts in all layers, using them both during back-testing and automated trading. In addition to the software architecture the opening objects of in- vestigation are outlined. Finally, the potential of gener- alizing the application domains of our approach beyond financial market trading strategies is pointed out.

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