ALGORITHM FOR PAYOFF CALCULATION FOR OPTION TRADING STRATEGIES USING VECTOR TERMINOLOGY

The aim of this paper is to develop an algorithm for calculating and plotting payoff of option strategies for a portfolio of path independent vanilla and exotic options. A general algorithm for calculating the vector matrix for any arbitrary combination strategy is also developed for some of the commonly option trading strategies.option trading strategy, payoff, vector, vanilla and exotic option

Upon a Message-Oriented Trading API

In this paper, we introduce the premises for a trading system application-programming interface (API) based on a message-oriented middleware (MOM), and present the results of our research regarding the design and the implementation of a simulation-trading system employing a service-oriented architecture (SOA) and messaging. Our research has been conducted with the aim of creating a simulation-trading platform, within the academic environment, that will provide both the foundation for future experiments with trading systems architectures, components, APIs, and the framework for research on trading strategies, trading algorithm design, and equity markets analysis tools. Mathematics Subject Classification: 68M14 (distributed systems).Trading System API, Straight-Through Processing, Distributed Computing, Service-Oriented Architecture (SOA), Message-Oriented Middleware (MOM), Java Message Service (JMS), OpenMQ

Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context

This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be either internalizing or regular, either a hedge fund or a brokery agency. The speed and cost of trading can be balanced by properly choosing active strategies on the displayed orders in the book and passive strategies on the hidden orders within the spread. We shall show that the price switching algorithms provide lower and upper bounds of the mixed trading algorithms. Especially, when the internalization premium is zero, an internalizing trader's optimal mixed trading strategy can be achieved among the set of price switching strategies. For both an internalizing trader and a regular trader, the optimal price switching strategy exists and is expressed in terms of the value function. A parallelizable algorithm to numerically compute the value function and optimal price switching strategy for the discretized state process is provided.Comment: 40 pages; 7 figures; 1 tabl

Exchange of indivisible goods and indifferences: the Top Trading Absorbing Sets mechanisms

There is a wide range of economic problems involving the exchange of indivisible goods without monetary transfers, starting from the housing market model of the seminal paper of Shapley and Scarf [10] and including other problems like the kidney exchange or the school choice problems. For many of these models, the classical solution is the application of an algorithm/mechanism called Top Trading Cycles, attributed to David Gale, which satisfies good properties for the case of strict preferences. In this paper, we propose a family of mechanisms, called Top Trading Absorbing Sets mechanisms, that generalizes the Top Trading Cycles for the general case in which individuals can report indifferences, and preserves all its desirable properties.housing market, indifferences, top trading cycles, absorbing sets