Three automated stock-trading agents: A comparative study

Abstract. This paper documents the development of three autonomous stocktrading agents within the framework of the Penn Exchange Simulator (PXS), a novel stock-trading simulator that takes advantage of electronic crossing networks to realistically mix agent bids with bids from the real stock market [1]. The three approaches presented take inspiration from reinforcement learning, myopic trading using regression-based price prediction, and market making. These approaches are fully implemented and tested with results reported here, including individual evaluations using a fixed opponent strategy and a comparative analysis of the strategies in a joint simulation. The market-making strategy described in this paper was the winner in the fall 2003 PLAT live competition and the runnerup in the spring 2004 live competition, exhibiting consistent profitability. The strategy’s performance in the live competitions is presented and analyzed.