29,071 research outputs found
Deep Learning can Replicate Adaptive Traders in a Limit-Order-Book Financial Market
We report successful results from using deep learning neural networks (DLNNs)
to learn, purely by observation, the behavior of profitable traders in an
electronic market closely modelled on the limit-order-book (LOB) market
mechanisms that are commonly found in the real-world global financial markets
for equities (stocks & shares), currencies, bonds, commodities, and
derivatives. Successful real human traders, and advanced automated algorithmic
trading systems, learn from experience and adapt over time as market conditions
change; our DLNN learns to copy this adaptive trading behavior. A novel aspect
of our work is that we do not involve the conventional approach of attempting
to predict time-series of prices of tradeable securities. Instead, we collect
large volumes of training data by observing only the quotes issued by a
successful sales-trader in the market, details of the orders that trader is
executing, and the data available on the LOB (as would usually be provided by a
centralized exchange) over the period that the trader is active. In this paper
we demonstrate that suitably configured DLNNs can learn to replicate the
trading behavior of a successful adaptive automated trader, an algorithmic
system previously demonstrated to outperform human traders. We also demonstrate
that DLNNs can learn to perform better (i.e., more profitably) than the trader
that provided the training data. We believe that this is the first ever
demonstration that DLNNs can successfully replicate a human-like, or
super-human, adaptive trader operating in a realistic emulation of a real-world
financial market. Our results can be considered as proof-of-concept that a DLNN
could, in principle, observe the actions of a human trader in a real financial
market and over time learn to trade equally as well as that human trader, and
possibly better.Comment: 8 pages, 4 figures. To be presented at IEEE Symposium on
Computational Intelligence in Financial Engineering (CIFEr), Bengaluru; Nov
18-21, 201
Evolutionary Optimization of ZIP60: A Controlled Explosion in Hyperspace
The âZIPâ adaptive trading algorithm has been demonstrated to out-perform human traders in experimental studies of continuous double auction (CDA) markets. The original ZIP algorithm requires the values of eight control parameters to be set correctly. A new extension of the ZIP algorithm, called ZIP60, requires the values of 60 parameters to be set correctly. ZIP60 is shown here to produce significantly better results than the original ZIP (called âZIP8â hereafter), for negligable additional computational costs. A genetic algorithm (GA) is used to search the 60-dimensional ZIP60 parameter space, and it finds parameter vectors that yield ZIP60 traders with mean scores significantly better than those of ZIP8s. This paper shows that the optimizing evolutionary search works best when the GA itself controls the dimensionality of the search-space, so that the search commences in an 8-d space and thereafter the dimensionality of the search-space is gradually increased by the GA until it is exploring a 60-d space. Furthermore, the results from ZIP60 cast some doubt on prior ZIP8 results concerning the evolution of new âhybridâ auction mechanisms that appeared to be better than the CDA
ExaGridPF: A Parallel Power Flow Solver for Transmission and Unbalanced Distribution Systems
This paper investigates parallelization strategies for solving power flow
problems in both transmission and unbalanced, three-phase distribution systems
by developing a scalable power flow solver, ExaGridPF, which is compatible with
existing high-performance computing platforms. Newton-Raphson (NR) and
Newton-Krylov (NK) algorithms have been implemented to verify the performance
improvement over both standard IEEE test cases and synthesized grid topologies.
For three-phase, unbalanced system, we adapt the current injection method (CIM)
to model the power flow and utilize SuperLU to parallelize the computing load
across multiple threads. The experimental results indicate that more than 5
times speedup ratio can be achieved for synthesized large-scale transmission
topologies, and significant efficiency improvements are observed over existing
methods for the distribution networks
Explorations in Evolutionary Design of Online Auction Market Mechanisms
This paper describes the use of a genetic algorithm (GA) to find optimal parameter-values for trading agents that operate in virtual online auction âe-marketplacesâ, where the rules of those marketplaces are also under simultaneous control of the GA. The aim is to use the GA to automatically design new mechanisms for agent-based e-marketplaces that are more efficient than online markets designed by (or populated by) humans. The space of possible auction-types explored by the GA includes the Continuous Double Auction (CDA) mechanism (as used in most of the worldâs financial exchanges), and also two purely one-sided mechanisms. Surprisingly, the GA did not always settle on the CDA as an optimum. Instead, novel hybrid auction mechanisms were evolved, which are unlike any existing market mechanisms. In this paper we show that, when the market supply and demand schedules undergo sudden âshockâ changes partway through the evaluation process, two-sided hybrid market mechanisms can evolve which may be unlike any human-designed auction and yet may also be significantly more efficient than any human designed market mechanism
FooPar: A Functional Object Oriented Parallel Framework in Scala
We present FooPar, an extension for highly efficient Parallel Computing in
the multi-paradigm programming language Scala. Scala offers concise and clean
syntax and integrates functional programming features. Our framework FooPar
combines these features with parallel computing techniques. FooPar is designed
modular and supports easy access to different communication backends for
distributed memory architectures as well as high performance math libraries. In
this article we use it to parallelize matrix matrix multiplication and show its
scalability by a isoefficiency analysis. In addition, results based on a
empirical analysis on two supercomputers are given. We achieve close-to-optimal
performance wrt. theoretical peak performance. Based on this result we conclude
that FooPar allows to fully access Scala's design features without suffering
from performance drops when compared to implementations purely based on C and
MPI
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