Title :
ZIP60: an enhanced variant of the ZIP trading algorithm
Author_Institution :
Foreign Exchange Complex Risk Group, Deutsche Bank, London
Abstract :
The "ZIP" adaptive automated trading algorithm has been shown to outperform human traders in experimental studies of continuous double auction (CDA) markets populated by mixtures of human and "software robot" traders. This paper introduces a more sophisticated version of the ZIP algorithm, called ZIP60 because it requires the values of 60 parameters to be set correctly. ZIP60 is shown here to produce significantly improved results in comparison to the original ZIP algorithm (called "ZIP8" hereafter). A genetic algorithm is used to search the 60-dimensional parameter space, and it finds parameter values that yield ZIP60 traders with mean scores that are significantly better than those of ZIP8s. Principal component analysis of the best evolved ZIP60 parameter-sets establishes that no ZIP8 solutions are embedded in the 60-d space. Moreover, the results presented here cast doubt on earlier ZIP8 results concerning the evolution of new \´hybrid\´ auction mechanisms that appeared to be improvements on the CDA
Keywords :
commerce; genetic algorithms; marketing; principal component analysis; 60-dimensional parameter space; ZIP60; continuous double auction markets; genetic algorithm; principal component analysis; software robot traders; zero-intelligence plus adaptive automated trading algorithm; Algorithm design and analysis; Automatic control; Computer science; Consumer electronics; Genetic algorithms; Humans; Performance analysis; Principal component analysis; Robotics and automation; Winches;
Conference_Titel :
E-Commerce Technology, 2006. The 8th IEEE International Conference on and Enterprise Computing, E-Commerce, and E-Services, The 3rd IEEE International Conference on
Conference_Location :
San Francisco, CA
Print_ISBN :
0-7695-2511-3
DOI :
10.1109/CEC-EEE.2006.99
