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Scientific Programming
Volume 2018, Article ID 8721246, 12 pages
https://doi.org/10.1155/2018/8721246
Research Article

Automatic High-Frequency Trading: An Application to Emerging Chilean Stock Market

1Pontificia Universidad Católica de Valparaíso Chile, Avenida Brasil 2241, Valparaíso 2362807, Chile
2Pontificia Universidad Católica de Valparaíso Chile, Avenida Brasil 2830, Valparaíso 2340031, Chile
3Universidad Técnica Federico Santa María Chile, Avenida España 1680, Valparaíso 2390123, Chile
4Universidad Diego Portales Chile, Av. Ejército 441, Santiago 8370109, Chile

Correspondence should be addressed to Hanns de la Fuente-Mella; lc.vcup@etneufaled.snnah

Received 8 March 2018; Revised 11 August 2018; Accepted 5 September 2018; Published 30 September 2018

Academic Editor: José E. Labra

Copyright © 2018 Broderick Crawford et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

This research seeks to design, implement, and test a fully automatic high-frequency trading system that operates on the Chilean stock market, so that it is able to generate positive net returns over time. A system that implements high-frequency trading (HFT) is presented through advanced computer tools as an NP-Complete type problem in which it is necessary to optimize the profitability of stock purchase and sale operations. The research performs individual tests of the algorithms implemented, reviewing the theoretical net return (profitability) that can be applied on the last day, month, and semester of real market data. Finally, the research determines which of the variants of the implemented system performs best, using the net returns as a basis for comparison. The use of particle swarm optimization as an optimization algorithm is shown to be an effective solution since it is able to optimize a set of disparate variables but is bounded to a specific domain, resulting in substantial improvement in the final solution.