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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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0111 · Oct 201919922001200920172026
2 results for “Vytelingum Adaptive-Aggressive”
Adaptive-Aggressive Traders Don't Dominateq-fin.TR

New research shows IBM's GDX algorithm outperforms Vytelingum's Adaptive-Aggressive strategy in market simulations.

problem Comparing the performance of adaptive-aggressive trading algorithms in various market scenarios.
method Exhaustive testing across a wide range of market environments using large-scale compute facilities.
result Vytelingum's Adaptive-Aggressive strategy is consistently outperformed by IBM's GDX algorithm in simple market conditions.
trading algorithmsmarket simulationexhaustive testingIBM GDXVytelingum Adaptive-Aggressive
2019-10-19abs ↗pdf ↗
Fools Rush In: Competitive Effects of Reaction Time in Automated Tradingq-fin.TR

Faster trading algorithms aren't always better, as shown in simulated financial markets.

problem The impact of reaction time on automated trading performance.
method Simulated financial markets with a single exchange, public limit order book, and continuous double auction matching. Models of trading speed and computation times of trading algorithms were introduced and profiled.
result Trading performance is impacted by speed, and the Adaptive-Aggressive (AA) algorithm is outperformed by the Shaver (SHVR) strategy when relative computation times are accurately simulated.
automated tradingreaction timefinancial marketstrading algorithmsperformance impact
2019-12-05abs ↗pdf ↗