Everton Rodrigues da Silva

A neural network based approach to support the Market Making strategies in High-Frequency Trading

Artificial Neural Networks (ANN) have been frequently applied to reduce risks and maximize the net returns in different types of algorithm trading. Using a real dataset, and aiming to support the Market Making process in High-Frequency Trading, this work investigates the use of a multilayer perceptron (MLP) to predict positive oscillations in short time periods (5, 10 or 15 minutes). The statistical analysis of our results showed that a neural network is more effective in short-term oscillations (5 minutes) when compared with the results obtained in longer periods (10 or 15 minutes). The result is important because it allows to insert a higher quantity of limit orders once they will be placed more frequently, which increases the market liquidity. It contextualizes a new contribution in the High-Frequency Trading field, where this work proposes a new trigger to start a market making process.

Design and Evaluation of Automatic Agents for Stock Market Intraday Trading

Automated trading has become very popular in electronic markets, such as stock market. The design and evaluation of trading agents are not trivial due to the complexity and dynamics of this scenario. Using an actual and reliable dataset from the Brazilian Stock Exchange, and aiming to support the Market Making process in High-Frequency Trading, in this work we design and evaluate some models of automated agents for stock market intraday trading. The modeled strategies are inspired by the Elliot Wave Principle and based on some technical concepts commonly used by stock market analysts. The results are promising, besides it is clearly that financial gains are not trivial to acquire. A variety of results were observed, part of them providing gains for all assets in specific trading days, and other part showing losses for other trading days. A rich experimental analysis provide interesting findings and insights, which will contribute for designing more effective trading agents.

As contribuições de Robert Cooper para o debate sobre ontologia organizacional

This article, prepared through Robert Cooper’s contributions, seek to think of an organizational ontology that moves away from the theo retical conceptions of administration linked to modern science, getting closer to a postmodern perspective. After a brief contextualization of the theme, we introduce the conceptual principles that ground modern thinking and their implications to organizational theorization, as well as their limitations. Next, we describe foundations from the postmodern viewpoint and their unfolding. Finally, we suggest that orga nizations are recognized as multiple inventive events, which surprise in relation to what was predicted and accentuate the emergent cha racter of social reality. Cooper’s ideas give rise to an epistemology focused on describing and interpreting the organization as a process, i.e. capturing the organizational ethnographic moment. Organizations, as empirical objects, keep living, active, hybrid, fragmented. As Bruno Latour might say, we have never been modern and our organizations were not or are not modern as well.

Proposal and Implementation of New Trading Strategies for Stock Markets using Web Data

The use of social networks and the Web is growing every day, generating a lot of data that can aggregate value to different applications. In financial market, there is a need to better understand the situations that occur in the capital market, through negotiation strategies and technical indicators that can assist in analysis and investment decisions. This work presents a study of the time series data of historical quotations on assets of BM&FBOVESPA and Web data about investments (e.g., social networks, forums, blogs, and news), with the objective of seeking subsidies that can assist in a better understanding of financial market behavior. Based on the theory of Elliott Wave, we propose several trading strategies, evaluating them in a realistic simulator of the financial market. The results show how the use of distinct indicators, such as the ones that are based on Web data, can help minimizing losses and maximizing the triggers that generate profit.

Las contribuciones de Robert Cooper al debate sobre la ontología organizacional

This article, prepared through Robert Cooper’s contributions, seek to think of an organizational ontology that moves away from the theo retical conceptions of administration linked to modern science, getting closer to a postmodern perspective. After a brief contextualization of the theme, we introduce the conceptual principles that ground modern thinking and their implications to organizational theorization, as well as their limitations. Next, we describe foundations from the postmodern viewpoint and their unfolding. Finally, we suggest that orga nizations are recognized as multiple inventive events, which surprise in relation to what was predicted and accentuate the emergent cha racter of social reality. Cooper’s ideas give rise to an epistemology focused on describing and interpreting the organization as a process, i.e. capturing the organizational ethnographic moment. Organizations, as empirical objects, keep living, active, hybrid, fragmented. As Bruno Latour might say, we have never been modern and our organizations were not or are not modern as well.

Robert Cooper's contributions to the debate on organizational ontology

This article, prepared through Robert Cooper’s contributions, seek to think of an organizational ontology that moves away from the theo retical conceptions of administration linked to modern science, getting closer to a postmodern perspective. After a brief contextualization of the theme, we introduce the conceptual principles that ground modern thinking and their implications to organizational theorization, as well as their limitations. Next, we describe foundations from the postmodern viewpoint and their unfolding. Finally, we suggest that orga nizations are recognized as multiple inventive events, which surprise in relation to what was predicted and accentuate the emergent cha racter of social reality. Cooper’s ideas give rise to an epistemology focused on describing and interpreting the organization as a process, i.e. capturing the organizational ethnographic moment. Organizations, as empirical objects, keep living, active, hybrid, fragmented. As Bruno Latour might say, we have never been modern and our organizations were not or are not modern as well.

A binary ensemble classifier for high-frequency trading

The aim of this study was to model and use machine learning techniques to maximize the chance of a market maker be executed successfully in a stock market, that is, when their bid and ask orders are filled at the desired prices. In this context, a binary ensemble classifier was created to decide whether, at a specific time, is or not propitious to start a new market making process. Conducting the study over a large volume of data for high-frequency traders, we showed that the new proposed ensemble classifier was able to improve the efficiency of the isolated models and the precision of the models are better than random decision makers.