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The Alpha Engine: Designing an automated trading algorithm


researchhub - November 16, 2018 - 0 comments

Anton Golub (Flov technologies), James Glattfelder (Department of Banking and Finance, UZH), and Richard Olsen (Lykke) introduce a new approach to algorithmic investment management that yields profitable automated trading strategies. This trading model design is the result of a path of investigation that was chosen nearly three decades ago. Back then, a paradigm change was proposed for the way time is defined in financial markets, based on intrinsic events. This definition leads to the uncovering of a large set of scaling laws. An additional guiding principle was found by embedding the trading model construction in an agent-based framework, inspired by the study of complex systems. This new approach to designing automated trading algorithms is a parsimonious method for building a new type of investment strategy that not only generates profits but also provides liquidity to financial markets and does not have a priori restrictions on the number of assets that are managed.

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