Limit Book Simulation
Having read these articles years ago, recent reference by etrading brought back memories.
Numerous of the following papers give readers a flavor of the challenge trading microstructure, with the state-of-the-art now miles beyond these undergrad papers:
- The Penn-Lehman Automated Trading Project, by Kearns and Ortiz
- A Novel Strategy for the 2005 Penn-Lehman Automated Trading Competition, by Savani and Veal
- Two Stock-Trading Agents: Market Making and Technical Analysis, by Feng et al.
- Three Automated Stock-Trading Agents: A Comparative Study, by Sherstov and Stone
Are any readers are familiar with an open source modern limit book exchange simulator (i.e. modern equivalent of PXS)? Fun weekend project would be to build up a few trading bots and compete against a Hasbrouck model.