Prof. Michael Kearns


There will be significant changes to the nature of, and participation in, the PLAT project this year. In past years, the project revolved around the microstructure simulator described below, and all teams pursued their own strategy with little supervision. Teams could only examine strategies trading in a single stock, and the emphasis was on end-of-term competitions.

This year, successful applicants will be given internships in quantitative strategy development and testing with Prof. Kearns and the proprietary trading group of the Equity Capital Management division of Lehman Brothers in New York City. This will provide participants with realistic experience in developing and backtesting promising quantitative strategies. The data sources and testing methods will be determined by the nature of the strategy in question. Participants will interact both with Prof. Kearns and members of the Lehman prop trading group, which includes investment and trading professionals, as well as quant strategy researchers and developers, many with science doctorates.

It is anticipated that each internship will focus on one main strategy design, and emphasis will be placed on sound research and experimental work. As such, the internships will be entirely appropriate as Penn Senior Design projects or Independent Studies with Prof. Kearns. Students will be free to exhibit their independent work publicly.

There will be only a limited number (2-3) of openings, so participation will be competitive. Interested parties should send their resumes to Prof. Kearns, along with detailed information on your year in school, major(s), interests, whether you want to do a Senior Design or IS, etc. Be sure to emphasize any prior finance experience.

A fairly detailed account of the activities, ideas and events on the project in past years can be found by examining the News and Notes pages:

  • News and Notes for 2004-05
  • News and Notes for 2003-04
  • News and Notes for 2002-03


    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).

    During its first two years, the PLAT project 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:

  • The Penn-Lehman Automated Trading Project. Michael Kearns and Luis Ortiz. IEEE Intelligent Systems, 2003.
    IEEE version [PDF] Extended version [PS] Extended version [Compressed PS] Extended version [PDF]

    Here are several other publications that are based on research conducted as part of the PLAT project:

  • "Two Stock-Trading Agents: Market Making and Technical Analysis", Yi Feng, Ronggang Yu, and Peter Stone.
  • "Three Automated Stock-Trading Agents: A Comparative Study", Alexander Sherstov and Peter Stone.
  • "News Mining Agent for Automated Stock Trading", Gurushyam Hariharan.
  • "Evolutionary Algorithms in Optimization of Technical Rules for Automated Stock Trading, Harish K Subramanian.

    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:

  • Building PXS trading clients and running simulations
  • PXS client API

    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.


    The primary personnel for the project are:

  • Michael Kearns,
  • Elliot Feng,
    For any and all systems issues, you should send mail to which will reach all of us above.