Effect of k-ZI trader's trading strategy on performance of continuous double auction market
Zhan W.-J.; Wang Y.-Y.
Source PublicationProceedings of 2006 International Conference on Management Science and Engineering, ICMSE'06 (13th)
AbstractThe 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.
KeywordContinuous double auction k-ZI Strategy
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Document TypeConference paper
CollectionUniversity of Macau
AffiliationHuazhong University of Science and Technology
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GB/T 7714
Zhan W.-J.,Wang Y.-Y.. Effect of k-ZI trader's trading strategy on performance of continuous double auction market[C],2007:271-275.
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