IEEE version [PDF] Extended version [PS] Extended version [Compressed PS] Extended version [PDF]
You can find more by Googling "Penn Lehman Automated Trading Project".
PROJECT SUMMARY AND PARTICIPATION
The Penn-Lehman Automated Trading (PLAT) Project is a broad investigation of algorithms and strategies for automated trading in financial markets and related environments. The project makes use of the Penn Exchange Simulator (PXS), a simulator for automated trading that uses real-world, real-time stock market data available over modern Electronic Crossing Networks (ECNs).
The PLAT project has had over 60 participants from both Penn and many external institutions. These participants developed PXS automated trading clients that were entered in several formal automated trading competitions.
The Penn-Lehman Automated Trading Project receives generous financial and professional support from the Equity Capital Management group of Lehman Brothers in New York City.
The aims of the projects, relevant background on market microstructure, and details about the PXS architecture, trading clients, competitions, and participants can be found in the following paper, which is the best overall introduction to the PLAT project:
IEEE version [PDF] Extended version [PS] Extended version [Compressed PS] Extended version [PDF]
Below are links to several other publications that are based on research conducted as part of the PLAT project; other writings and links can be found by Googling "Penn Lehman Automated Trading Project" :
You may also want to look at the extensive archival web site for PLAT 2002-03, which includes a variety of background materials, papers, web links on finance and trading, and the daily News and Notes page from the 2002-03 academic year.
Here is the most recent technical documentation for PXS and clients:
This page has some useful links regarding financial markets, trading strategies, and related topics. I have also cobbled together some papers on market microstructure along with brief synopses.
The Penn-Lehman Automated Trading Project receives generous financial and professional support from the Equity Capital Management group of Lehman Brothers in New York City.
