MadEvolve uses LLMs for evolutionary optimization of trading strategies and reports significant backtest improvements on Bitcoin tasks including signal feature evolution and joint strategy optimization.
Price Impact
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abstract
We define what "Price Impact" means, and how it is measured and modelled in the recent literature. Although this notion seems to convey the idea of a forceful and intuitive mechanism, we discuss why things might not be that simple. Empirical studies show that while the correlation between signed order flow and price changes is strong, the impact of trades on prices is neither linear in volume nor permanent. Impact allows private information to be reflected in prices, but by the same token, random fluctuations in order flow must also contribute to the volatility of markets.
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MadEvolve: Evolutionary Optimization of Trading Systems with Large Language Models
MadEvolve uses LLMs for evolutionary optimization of trading strategies and reports significant backtest improvements on Bitcoin tasks including signal feature evolution and joint strategy optimization.