ADAM: An Autonomous Agent for High-Frequency Currency Trading in the Brazilian Market

• Vicente Matheus M. Zuffo ITA
• Paulo André L. de Castro ITA

DOI: https://doi.org/10.5753/wesaac.2012.33145

Resumo

This paper presents an autonomous system called ADAM (Autonomous Dollar futures Agent Model) that implements a strategy based in the “Follow The Leader” concept to trade liquid futures contracts in the Brazilian exchange BM&F, taking in consideration peculiarities of the respective market. The agent operates at high frequency, being one of the first of its kind in this market.

Referências

De Castro, P. A. L. (2009) “Uma Arquitetura para Administração Automatizada de Ativos Baseada em Agentes Competitivos”, Tese de Doutorado, Escola Politécnica da Universidade de São Paulo.

Dacorogna, M. M., Gençay, R., Müller, U. A., Olsen, R. B. and Pictet, O. V. (2001) “Introduction to High Frequency Finance”, Academic Press.

Deitel, H. M. and Deitel, P. J. (2005), “Java: How To Program”, Pearson Prentice Hall, 6 th edition.

FIX Protocol. (2010). “Technical Resources / Specifications”, [link].

Bolsa de Mercadorias e Futuros, “BELL – BM&FBOVESPA Electronic Link. Regras de Uso FIX (Derivativos, Câmbio, Renda Fixa)”, Department of Trading Systems and Market Data, BM&F.