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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
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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. |
Full
text: |