Title :
Effect of k-ZI Trader´s Trading Strategy on Performance of Continuous Double Auction Market
Author :
Zhan Wen-jie ; Wang Ying-ying
Author_Institution :
Sch. of Manage., Huazhong Univ. of Sci. & Technol.
Abstract :
The trading strategy is an interesting and challenging subfield in the research of the continuous double auction (CDA) market that is the premier trading mechanism in financial exchanges. This paper investigates how the individuals\´ trading strategies affect the collective outcomes of a CDA market. The k-ZI strategy is examined, in which the value of parameter "k" determines a trader\´s maximum expected profit. After a series of simulations with different k-ZI traders, the effects of value "k" over the range of [0, 1] on the average transaction price, the price dispersion, the market efficiency, and the trade volume are analyzed regressively. The findings of the paper help us to understand the effect of traders\´ profitable behaviors on the out performance of a CDA market in detail
Keywords :
pricing; profitability; stock markets; average transaction price; continuous double auction market; financial exchanges; k-ZI trader trading strategy; price dispersion; trade volume; trader profitable behavior; Algorithm design and analysis; Analytical models; Dispersion; Financial management; Genetic algorithms; Internet; Iron; Modems; Regression analysis; Technology management; Continuous double auction; Strategy; k-ZI;
Conference_Titel :
Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on
Conference_Location :
Lille
Print_ISBN :
7-5603-2355-3
DOI :
10.1109/ICMSE.2006.313900
