Search Advanced

Quantitative Finance and Economics

2020, Volume 4, Issue 4: 596-607. doi: 10.3934/QFE.2020027
Previous Article Next Article
Research article Special Issues

A new trading algorithm with financial applications

  • Department of Public Economics, University of Zaragoza, Zaragoza, Spain
  • Received: 30 June 2020 Accepted: 02 September 2020 Published: 16 September 2020

  • JEL Codes: F10, G12, G21

  • The gravity equation is a useful tool for trading, but also for financial services as recently found. This paper tries to adapt modern theories of gravity equation for these services to a novel theory on trading, for both bilateral and multilateral trade, and supply and demand sides, finding an explicit expression of demand and supply of trade. This paper also includes an explanation of some Internet-based services by considering less transport costs between both countries. The proposed trading algorithm is key for trading development and for evaluating international trade, but also for finance, taking into account the midpoint between the proposed supply and demand of financial transactions, instead of the midpoint between bid and ask prices. This achieves a good fit for international trade and an alpha for financial trading.

    Citation: Guillermo Peña. A new trading algorithm with financial applications[J]. Quantitative Finance and Economics, 2020, 4(4): 596-607. doi: 10.3934/QFE.2020027

    Related Papers:

  • The gravity equation is a useful tool for trading, but also for financial services as recently found. This paper tries to adapt modern theories of gravity equation for these services to a novel theory on trading, for both bilateral and multilateral trade, and supply and demand sides, finding an explicit expression of demand and supply of trade. This paper also includes an explanation of some Internet-based services by considering less transport costs between both countries. The proposed trading algorithm is key for trading development and for evaluating international trade, but also for finance, taking into account the midpoint between the proposed supply and demand of financial transactions, instead of the midpoint between bid and ask prices. This achieves a good fit for international trade and an alpha for financial trading.


    加载中


    [1] Anderson JE (1979) A theoretical foundation for the gravity equation. Am Econ Rev 69: 106-116.
    [2] Cartea Á, Jaimungal S, Ricci J (2014) Buy low, sell high: A high frequency trading perspective. SIAM J Financ Math 5: 415-444. doi: 10.1137/130911196
    [3] Deardorff A (1998) Determinants of bilateral trade: does gravity work in a neoclassical world? In: The regionalization of the world economy, University of Chicago Press, 7-32.
    [4] Dunis CL, Laws J, Naïm P (2004) Applied quantitative methods for trading and investment, John Wiley & Sons.
    [5] Evenett SJ, Keller W (2002) On theories explaining the success of the gravity equation. J Polit Econ 110: 281-316. doi: 10.1086/338746
    [6] Feenstra RC (2015) Advanced international trade: theory and evidence, Princeton university press.
    [7] Feenstra RC, Markusen JR, Rose AK (2001) Using the gravity equation to differentiate among alternative theories of trade. Can J Econ/Revue canadienne d'économique 34: 430-447.
    [8] Feuerriegel S, Prendinger H (2016) News-Based Trading Strategies. Decis Support Syst 90: 65-74. doi: 10.1016/j.dss.2016.06.020
    [9] Hafezi R, Shahrabi J, Hadavandi E (2015) A Bat-Neural Network Multiagent System (BNNMAS) for Stock Price Prediction: Case Study of DAX Stock Price. Appl Soft Comput 29: 196-210. doi: 10.1016/j.asoc.2014.12.028
    [10] Huang B, Huan Y, Xu LD, et al. (2019) Automated trading systems statistical and machine learning methods and hardware implementation: a survey. Enterp Inf Syst 13: 132-144. doi: 10.1080/17517575.2018.1493145
    [11] Isard W (1954) Location theory and trade theory: short-run analysis. Q J Econ, 305-320. doi: 10.2307/1884452
    [12] Kaufman PJ (2005) The New Trading Systems and Methods, Wiley Trading.
    [13] Krugman P (1983) New theories of trade among industrial countries. Am Econ Rev 73: 343-347.
    [14] Lee CM, Ready MJ (1991) Inferring trade direction from intraday data. J Financ 46: 733-746. doi: 10.1111/j.1540-6261.1991.tb02683.x
    [15] Loewenstein G, Thaler RH (1989) Anomalies: intertemporal choice. J Econ Perspect 3: 181-193. doi: 10.1257/jep.3.4.181
    [16] López-Laborda J, Peña G (2018) A New Method for Applying VAT to Financial Services. Natl Tax J 71: 155-182. doi: 10.17310/ntj.2018.1.05
    [17] Treleaven P, Galas M, Lalchand V (2013) Algorithmic trading review. Commun ACM 56: 76-85. doi: 10.1145/2500117
  • Reader Comments
  • © 2020 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0)
通讯作者: 陈斌, bchen63@163.com
  • 1. 

    沈阳化工大学材料科学与工程学院 沈阳 110142

  1. 本站搜索
  2. 百度学术搜索
  3. 万方数据库搜索
  4. CNKI搜索
Quantitative Finance and Economics
5.3

Metrics

Article views(3041) PDF downloads(151) Cited by(3)

Preview PDF
Download XML
Export Citation
Article outline

Figures and Tables

Tables(5)

Other Articles By Authors

Related pages

Tools

/

DownLoad:  Full-Size Img  PowerPoint
Return
Return

Catalog