In Proc. AAMAS Workshop on Agent Mediated Electronic Commerce VI, July 2004. Three Automated Stock-Trading Agents: A Comparative Study Alexander A. Sherstov and Peter Stone The University of Texas at Austin Department of Computer Sciences Austin, TX 78712 USA {sherstov, pstone}@cs.utexas.edu Abstract. This paper documents the development of three autonomous stock- trading agents within the framework of the Penn Exchange Simulator (PXS), a novel stock-trading simulator that takes advantage of electronic crossing net- works 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 ap- proaches are fully implemented and tested with results reported here, including individual evaluationsusing 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 runner- up in the spring 2004 live competition, exhibiting consistent profitability. The strategy’s performance in the live competitions is presented and analyzed. 1 Introduction Automated stock trading is a burgeoning research area with important practical applica- tions. The advent of the Internet has radically transformed the nature of stock trading in most stock exchanges. Traders can now readily purchase and sell stock from a remote site using Internet-based order submission protocols. Additionally, traders can moni- tor the contents of buy and sell order books in real time using a Web-based interface. The electronic nature of the transactions and the availability of up-to-date order-book data make autonomous stock-trading applications a promising alternative to immediate human involvement. The work reported here was conducted in 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]. In preparation for an open live competition, we developed three parameterizable trading agents and defined several instantiations of each strategy. We optimized each agent independently, and then conducted detailed controlled experiments to select the strongest of the three for entry in the live competition. It is important to realize from the outset that this research is primarily an agent study pertaining to the interactions of particular agents in a fixed economy. Although PXS makes a strong and reasonable claim to implementing a realistic simulation of the stock market, the results and conclusions in this paper pertain to test economies includ- ing specific other stock-trading agents. In particular, we do not aim to create strategies that are ready for profitable deployment in the real stock market (otherwise we would likely not be writing this paper!). Rather, this paper makes three main contributions. First, it contributes an empirical methodology for studying and comparing stock-trading agents—individually as well as jointly in a shared economy—in a controlled empiri- cal setting. Second, it implements this methodology to compare three specific trading agents based on reinforcement learning, myopic trading using regression-based price prediction, and market making. Third, this paper contributes detailed specifications of promising strategy designs, one of which vastly outperformed competitor strategies in an open stock-trading competition and exhibited...
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Investment Climate l World Bank Group In partnership with Global Investment Promotion Best Practices 2012 Investment ClImate aprIl 2012 Global Investment Promotion Best Practices 2012 Investment Climate l World Bank Group In partnership with © 2012 The World Bank Group 1818 H Street, N.W., Washington D.C., 20433 All rights reserved May 2012 Available online at www.wbginvestmentclimate.org The information included in this work, while based on sources that the World Bank Group considers to be reliable, is not guaranteed as to accuracy and does not purport to be complete. The World Bank Group accepts no responsibility for any consequences of the use of such data. The information in this work is not intended to serve as legal advice. The findings, interpretations,
H.Keiding: Economics of Banking (Prel.version:August 10) Chapter 9, page 1 Chapter 9 Investment Banking and Corporate Finance 1. Introduction: investment banking In this chapter, we discuss the particular field of activity of a financial intermediary known as investment banking. As mentioned in Chapter 2, investment banking as a specific activity is concerned with the setting up and changing the capital structure of private corporations, dealing with matters of arranging loans, issue of securities, buying or selling of firms. There is a tradition in the US that investment banking should be separated from ordinary (“com- mercial”) banking, going back to the Glass-Seagall act from 1933 but eventually abandoned in 1999. In Europe, investment and commercial banking has traditionally been coexisting in
This PDF is a selection from an out-of-print volume from the National Bureau of Economic Research Volume Title: Asymmetric Information, Corporate Finance, and Investment Volume Author/Editor: R. Glenn Hubbard, editor Volume Publisher: University of Chicago Press, 1990 Volume ISBN: 0-226-35585-3 Volume URL: http://www.nber.org/books/glen90-1 Conference Date: May 5, 1989 Publication Date: January 1990 Chapter Title: Bank Monitoring and Investment: Evidence from the Changing Structure of Japanese Corporate Banking Relationships Chapter Author: Takeo Hoshi, Anil Kashyap, David Scharfstein Chapter URL: http://www.nber.org/chapters/c11469 Chapter pages in book: (p. 105 - 126) Bank Monitoring and Investment: Evidence from the Changing Structure of Japanese Corporate Banking Relationships Takeo Hoshi, Anil Kashyap, and David Scharfstein 4.1 Introduction Economists typically view banks as intermediaries that serve to channel
E 1 Q 2 Equity Equivalent Investments T HE N EED D EVELOPING A S OLUTION 1. The equity equivalent is carried as A strong permanent capital base is criti- In 1995, National Community Capital an investment on the investor’s cal for community development finan- set out to create a new financial in- balance sheet in accordance with cial institutions (CDFIs) because it in- strument that would function like eq- Generally Accepted Accounting creases the organization’s risk tolerance uity for nonprofit CDFIs. To realize Principles (GAAP) and lending flexibility, lowers the cost this goal, National Community Capi- of capital, and protects lenders by pro- tal chose an experienced partner— 2. It is a general obligation of the viding a cushion
Brief Overview on Investment Portfolio as on 30/6/2012 National Bank of Egypt Investment Portfolio Strategy National Bank of Egypt's strategy towards its investment portfolio has remained on of concurrently focusing on developing the national economy and at the same time maximizing the financial performance of the bank . The strategy is implemented through participation in various sectors and investment themes including participation in the establishment of major national projects in diverse industries . This strategy has helped the bank maintain a robust portfolio and at the same time helped the economy by increasing output and lowering unemployment rate. At the end of June 2012 the bank participated in 189 projects with a total capital of EGP 46.4 billion where
6 PUTTING IT TOGETHER The purpose of New Zealand’s public sector financial management system and the structures within which it operates. 1 INTRODUCING PUBLIC SECTOR FINANCIAL MANAGEMENT PUTTING IT TOGETHER 7 INTRODUCING PUBLIC SECTOR FINANCIAL MANAGEMENT The Purpose of Public Sector Financial Management The New Zealand public sector financial management system aims to: • assist the Government to translate its strategy into action • promote informed decision-making and accountability • encourage a responsive and efficient public sector. The system achieves these aims through the planning, decision-making and scrutiny processes that culminate in the passing of the Government’s Budget, the incentives for managing efficiently, and the reporting and feedback processes. Chapters Three, Five and Seven respectively, describe these features. Understanding the
Preface Financial Management is an essential part of the economic and non economic activities which leads to decide the efficient procurement and utilization of finance with profitable manner. In the olden days the subject Financial Management was a part of accountancy with the traditional approaches. Now a days it has been enlarged with innovative and multi dimensional functions in the field of business with the effect of industrialization, Financial Management has become a vital part of the business concern and they are concentrating more in the field of Financial Management. Financial Management also developed as corporate finance, business finance, financial economics, financial mathematics and financial engineering. Understanding the basic concept about the financial management becomes an essential part for the
Stock Trading by Modelling Price Trend with Dynamic Bayesian Networks Jangmin O 1 ,JaeWonLee 2 , Sung-Bae Park 1 , and Byoung-Tak Zhang 1 1 School of Computer Science and Engineering, Seoul National University San 56-1, Shillim-dong, Kwanak-gu, Seoul, Korea 151-744 {jmoh,sbpark,btzhang}@bi.snu.ac.kr 2 School of Computer Science and Engineering, Sungshin Women’s University, Dongsun-dong, Sungbuk-gu, Seoul, Korea 136-742 jwlee@cs.sungshin.ac.kr Abstract. We study a stock trading method based on dynamic bayesian networks to model the dynamics of the trend of stock prices. We design a three level hierarchical hidden Markov model (HHMM). There are five states describing the trend in first level. Second and third levels are abstract and concrete hidden Markov models to produce the observed patterns. To train the HHMM,
STAATSKOERANT, 13 JULIE 2012 No.35500 29 NOTICE 556 OF 2012 NATIONAL TREASURY LOCAL GOVERNMENT: MUNICIPAL FINANCE MANAGEMENT ACT (ACT 58 OF 2003) DRAFT MUNICIPAL FINANCIAL MISCONDUCT REGULATIONS CALL FOR COMMENTS I, Pravin Gordhan, Minister of Finance, after consultation with the Minister of Cooperative Governance and Traditional Affairs, hereby publish the draft regulations made, in terms of section 168 and 175 read with chapter 15, for public comment in terms of section 169(1)(b) of the Municipal Finance Management Act 56 of 2003, as set out in the Schedule. Interested persons may submit their comments on the draft regulations in writing on or before 31 August 2012 to: The Director-General, c/o Mr TV Pillay, National Treasury, Private Bag X115, Pretoria, 0001, or
1 2 Strategic Stock Trading: Master Personal Finance Using WallStreetWindow Stock Investing Strategies with Stock Market Technical Analysis By Michael Swanson PDF VERSION Copyright 2010 Michael Swanson All Rights Reserved 3 Contents Introduction ................................................................................................................................................... 4 Chapter 1: One Stock Can Change Your Life ............................................................................................... 6 Chapter 2: Invest Alongside the Smart Money ............................................................................................. 9 Chapter 3: Learn to Read Stock Price Movements ..................................................................................... 11 Chapter 4: What Really Makes a Stock Go Up........................................................................................... 14 Chapter 5: Riding a Stock Sector from Trough to Peak .............................................................................. 16 Chapter 6: How to Buy Tomorrow‟s Big Winners Today .......................................................................... 20 Chapter 7: The Most Profitable Stock Pattern You Can Buy ..................................................................... 23 Chapter 8: Buying a Stock Using the Two Fold Formula ...........................................................................
THE WORLD BANK INVESTMENT OPPORTUNITIES THE WORLD BANK TREASURY 1225 CONNECTICUT AVE NW, WASHINGTON, DC 20433 USA http://treasury.worldbank.org/capitalmarkets OVERVIEW 1 WHAT IS THE WORLD BANK? 2 WHY INVEST WITH THE WORLD BANK? 3 INVESTMENT PRODUCTS 2 WHAT IS THE WORLD BANK? 3 WHAT IS THE WORLD BANK? An international organization owned by 188 member countries 4 WHAT IS THE WORLD BANK? A global development cooperative – its owners are its clients 5 WHAT IS THE WORLD BANK? The world’s largest source of expertise in development finance 60 years of financing development projects Ć US$500+ billion in financing Ć 130 countries approximately Ć 5,000+ projects Issues bonds in the capital markets to finance its activities 6 WHAT IS THE WORLD BANK?
What you need to knoW Security Investments – Bank Bills Product Information Document* Issue date: 14 September 2010 Issued by: Commonwealth Bank of Australia ABN 48 123 123 124 AFSL 234945 You should read all sections of this Product Information Document before making a decision to acquire this financial product. As the information in this document has been prepared without considering your objectives, financial situation or needs, you should, before acting on the information, consider its appropriateness to your circumstances. * Please note that this product is not regulated under the Corporations Act 2001. General InformatIon 2 features at a glance 2 Purpose of a Product Information Document (PID) 3 What are Security Investments – Bank Bills? 3 What is
IX. Retail Sales — Investments 1 Retail Investment Sales exempt from these requirements. Once Title II of GLBA becomes effective, banks that offer securities will have a Introduction choice. They may either register with the SEC as broker dealers or confine their programs to a list of activities exempt These compliance examination procedures and guidance apply from registration. Due to the capital requirements imposed on to retail recommendations or sales of securities by, on behalf broker dealers by the SEC, most banks prefer to limit their of, or on the premises of FDIC supervised institutions. securities sales activities to those that do not require SEC “Retail” in this context means securities recommendations or registration. Pursuant to §1001 of GLBA, a
Activities Permissible for a National Bank, Cumulative INVESTMENTS 1 Acquisition of Preferred Securities. A national bank may purchase and hold the preferred securities of two special-purpose entities that hold interests in Australian mortgage assets. OCC Interpretive Letter No. 1027 (May 3, 2005). Acquisition of Preferred Stock of an Unaffiliated Company. A national bank has authority to acquire and hold the preferred stock of an unaffiliated company, pursuant to its authority to discount and negotiate evidences of debt, where the preferred stock is in substance a debt obligation of the issuer. The bank acquired the preferred stock as partial consideration for the disposition of a loan portfolio to the company. The bank’s existing holdings represent less than 5 percent
Financial Management Guidelines Gui deli nes for busi ness offi cers and ot her facul ty/st aff invol ved wi t h managi ng depart ment al fi nances Publi shed by: Fi nanci al Servi c es Effec ti ve: Januar y 2012 Revi sed: Oc tober 5, 2012 Table of Contents PURPOSE/SCOPE ....................................................................................................................................... 4 I. ROLES AND RESPONSIBILITIES ............................................................................................................ 4 Department Head ...................................................................................................................................... 4 Fund Manager ........................................................................................................................................... 4 Other Departments .................................................................................................................................... 4 Controller’s Office .................................................................................................................................. 4 Budget Office......................................................................................................................................... 4 Internal Audit ......................................................................................................................................... 4 II. DELEGATION CRITERIA ......................................................................................................................... 4 III. FINANCIAL OBJECTIVES ....................................................................................................................... 5 IV. GUIDING PRINCIPLES FOR BUDGETARY AND FINANCIAL ACTIVITY ............................................. 6 Establishing and Using Budgets ............................................................................................................... 6 Financial Activity ....................................................................................................................................... 7 V. FUND ESTABLISHMENT/SETUP ............................................................................................................ 7
Stock Trading using Linear Genetic Programming with Multiple Time Frames Garnett Wilson Afinin Labs Inc. St. John’s, Canada gwilson@afinin.com Derek Leblanc Afinin Labs Inc. St. John’s, Canada dleblanc@afinin.com Wolfgang Banzhaf Afinin Labs Inc. St. John’s, Canada banzhaf@afinin.com ABSTRACT A number of researchers have attempted to take successful GP trading systems and make them even better through the use of filters. We investigate the use of a linear genetic programming (LGP) system that combines GP signals pro- vided over multiple intraday time frames to produce one trading action. Four combinations of time frames stretching further into the past are examined. Two diļ¬erent decision mechanisms for evaluating the overall signal given the GP signals over all time frames are also examined, one
1) Summary of account activity A summary of the transactions on your account‐‐your payments, credits, purchases, balance transfers, cash advances, fees, interest charges, and amounts past due. It will also show your new balance, available credit (your credit limit minus the amount you owe), and the last day of the billing period (payments or charges after this day will show up on your next bill). 2) Payment information Your total new balance, the minimum payment amount (the least amount you should pay), and the date your payment is due. A payment generally is considered on time if received by 5 p.m. on the day it is due. If mailed payments are not accepted on a due date (for example, if
5. Stock Trading Basics Before we move on to investment banking and stock markets to nish up the survey of nancial institutions, it is a good idea that we understand how stocks are traded rst. 5.1 Stock Quote 1. Bid, ask, and last prices Buyers and sellers look at di¤erent prices. a) Does a small bid-ask spread indicate an active market? b) The market can be seen as a gigantic order book for now. 2. Volume Volume alone transmits very little information. 3. Settlement An order executed must be settled within 3 working days (T+3 Rule). 18 5. Stock Trading Basics 5.2 Order Types 1. Market orders Market orders are buy or sell orders that are to be executed immediately
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For Official Use Only Comptroller of the Currency CD-1 – National Bank Community Administrator of National Banks Development (Part 24) Investments OMB Number 1557-0194 A national bank or national bank subsidiary may make an investment directly or in directly d esigned pr imarily to promote the public welfare under the community development investment authority in 12 USC 2 4(Eleventh) and its implementing regulation 12 CF R 24 (Part 24). Part 2 4 contains t he OCC standards for determining whether a n investment is designed to promote th e public welfare and procedures that apply to those investments. National banks must submit the completed form to provide an after-the-fact notice or to request prior approval of a
1 Universal Banks and Investment Companies in Germany Theodor Baums I. Introduction II. Banks as shareholders and trustees 1. Separation between shareholders and investors under German law 2. Contractual vs. corporate governance structure 3. Supervis ory boards and banks as trustees 4. Reputation and performance measurement as substitutes? 5. Publicly held funds and the collective action problem III. Affiliated transactions 1. Scope 2. Conflicts of interests and regulatory provisions IV. Other bu siness interests of the parent bank 1. Underwriting and investment policy 2. Shareholdings of banks and investment policy V. Interests of the parent bank’s management 1. Corporate governance in large banks 2. Investment funds and shares in large banks 3. Regulatory reactions VI. Concluding remarks 2 UNIVERSAL BANKS
Investment in Subsidiaries and Equities Comptroller's Licensing Manual Washington, DC July 2008 Investment in Subsidiaries and Equities Table of Contents Introduction.............................................................................................................1 Key Policies.............................................................................................................1 Applications and Notices..............................................................................1 Special Conditions........................................................................................2 Undercapitalized Banks................................................................................2 Publication ...................................................................................................3 Consolidated Financial Statements................................................................3 Multiple Transactions ...................................................................................3 Mergers and Acquisitions..............................................................................3 Offshore Subsidiaries....................................................................................4 Examination and Supervision........................................................................5 Operating Subsidiaries.............................................................................................5 Ownership....................................................................................................6 Partnership or Joint Venture..........................................................................6 Noncontrolling Interest.................................................................................6 Decision Criteria...........................................................................................7 Filing Process................................................................................................7 After-the-Fact Notice..........................................................................8 Standard Review............................................................................. 10 Specific Requirements ............................................................................... 11 Insurance........................................................................................ 11 Electronic Activities ........................................................................ 12 Fiduciary Powers ............................................................................ 12 Locations ................................................................................................... 13 Annual Reporting Requirement.................................................................. 13 Applicability of Law................................................................................... 13 Holding Company Dissolution .................................................................. 14 Financial Subsidiaries ........................................................................................... 14 Qualifications ............................................................................................ 14 Activities.................................................................................................... 15 Exceptions ................................................................................................. 16 Safeguards ................................................................................................. 16 Filing Process............................................................................................. 17 Certification with Subsequent Notice.............................................. 17 Combined Certification and