For any and all systems issues, you should send mail to pxs@gradient.cis.upenn.edu, which will reach all of us above.
THE PENN-LEHMAN AUTOMATED TRADING PROJECT: 2004-05
Prof. Michael Kearns
mkearns@cis.upenn.edu
Current news and information for PLAT project participants and interested parties can be found on the News and Notes page. The News and Notes page is the primary source of regular, timely information for project participants. Please check it regularly for updates.
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).
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:
Here are several other publications that are based on research conducted as part of the PLAT 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.
The primary personnel for the project are: