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.

fYear

2006

fDate

5-7 Oct. 2006

Firstpage

271

Lastpage

275

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering, 2006. ICMSE '06. 2006 International Conference on

Conference_Location

Lille

Print_ISBN

7-5603-2355-3

Type

conf

DOI

10.1109/ICMSE.2006.313900

Filename

4104908