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Human computation appliqué au trading algorithmique

Abstract : Algorithmic trading, designed for speculative purposes, really took off in the early 2000's, first for optimizing market orders based on human decisions and then for executing trading strategies in real time. In this systematic trading approach, human intervention is limited to system supervision and maintenance. The field is growing even though the Efficient Market Hypothesis says that in an efficient market, speculation is futile.Human Computation is an unusual concept which considers human brains as a part of a much larger machine, with the power to tackle problems that are too big for today's computers. This concept is at the crossroads between two older ideas: collective intelligence and crowdsourcing able to involve humans (whether they are paid or not, they realize it or not) in problem solving or to achieve a complex task. The Fold-it project in biochemistry proved the ability of a human community to set up an efficient collective intelligence system based on a serious online game.Algorithmic trading is on same difficulty level of complexity as the problem tackled by Fold-it's creators. In that case “human CPU” really helped in solving 3D puzzles. The question is whether Human Computation could be used in algorithmic trading even though there are no 3D structures or user-friendly puzzles to deal with.The first experiment in this thesis is based on the idea that information flows in social media may provide input to algorithmic trading systems based on Human Computation principles. Twitter, the micro blogging platform, was chosen in order to track (1) words that may have an impact of financial markets and (2) unexpected events such as the eruption of the Icelandic volcano. We demonstrate that a significant increase in P&L can be achieved in the second case by treating the unexpected events as alerts.The second experiment with Human Computation in algorithmic trading aims to get a community of internet users to optimize parameters of the trading strategies, in the way that the Fold-it game did. In this online game called “Krabott” solutions are presented as friendly virtual bots each containing a specific set of parameters for a particular trading strategy in its DNA. Humans who are playing the game, interact in the selection and reproduction steps for each new “Krabott”.In this game the Krabotts “bred” by players outperformed those resulting from a computer optimization process. We tested two different versions of Krabott during the years 2012 and 2013, and in both cases the population bred by the players outperformed the “computer only” ones. This suggests that it may be possible to set up a whole hybrid human-computer system based on Human Computation where each player is a kind of single CPU within a global trading system.The thesis concludes by discussing the types of competitive advantages that structures based on Human Computation have for data acquisition into a trading system or for optimizing the parameters of existing trading strategies. Going further we expect that in the years to come Human Computation will be able to set up and update algorithmic trading strategies, whose complexity exceeds what an individual person could comprehend.
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Submitted on : Tuesday, March 11, 2014 - 2:52:11 PM
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Arnaud Vincent. Human computation appliqué au trading algorithmique. Economies et finances. Ecole Nationale Supérieure des Mines de Paris, 2013. Français. ⟨NNT : 2013ENMP0049⟩. ⟨pastel-00958007⟩



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