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The Alpha Engine: Designing an Automated Trading Algorithm

High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017

29 Pages Posted: 12 Apr 2017 Last revised: 3 May 2017

Anton Golub

Lykke Corp

James Glattfelder

Department of Banking and Finance, UZH

Richard B. Olsen

Lykke Corp

Date Written: April 5, 2017

Abstract

We 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 lead 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-base 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 amount of assets that are managed.

Keywords: asset management, trading, algorithm

JEL Classification: G110, G120, C1

Suggested Citation

Golub, Anton and Glattfelder, James and Olsen, Richard B., The Alpha Engine: Designing an Automated Trading Algorithm (April 5, 2017). High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017. Available at SSRN: https://ssrn.com/abstract=2951348

Anton Golub (Contact Author)

Lykke Corp ( email )

Baarerstrasse 2
Zug, Zug 6300
Switzerland
00417816108884 (Phone)

HOME PAGE: http://www.lykke.com

James Glattfelder

Department of Banking and Finance, UZH ( email )

Schönberggasse 1
Zürich, 8001
Switzerland

HOME PAGE: http://www.bf.uzh.ch/cms/en/glattfelder.james.html

Richard Olsen

Lykke Corp ( email )

Baarerstrasse 2
Zug, Zug 6300
Switzerland
41793368950 (Phone)

HOME PAGE: http://www.lykke.com

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