It’s informative to see the history of automated trading to realize that it hasn’t been around for very long so applying cutting edge machine learning could still give an edge.
All of these are by David Leinweber, who was one of the first to use AI methods for trading. Dr. Leinweber also founded the Center for Innovative Financial Technology (CIFT) at Berkeley’s Haas School of Business, which provides many automated trading related resources for students. Here’s an excerpt of his biography, Nerds on Wall Street.
This article from the Journal of Portfolio Management describes how one of the first AI-based systems worked, complete with pictures. “Intelligence amplification” did not end up trumping fully automated systems but I think it’s one of a few paths which trading systems could have gone which may still be fruitful in the future.
This next article covers the algo execution arms race. Obviously no one wants to get gamed when they are transacting a large volume.
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Finally this Google Tech Talk entertainingly describes the electronification of markets:
