Laib, Fodil and Radjef, MS (2008): Optimal Strategies for Automated Traders in a Producer-Consumer Futures Market.
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The aim of this work is to show how automated traders can operate a futures market. First, we established some hypothesises on the properties of the ’correct’ price pattern which translates accurately the underlying moves in the supply/demand balance and the nominal price, then mathematical measures were derived allowing to estimate the efficiency of a given trading strategy. As a starting step, we applied our approach to a simplified market setup where only two automated traders, a producer and a consumer, can trade. They receive a stream of forecasts on supply and demand levels and they should react instantaneously by adjusting these forecasts, then issuing sale and buy orders. Later, we suggested a parameterized trading strategy for the two automatons. Finally, we obtained by simulation the optimal parameters of this strategy in some particular cases.
|Item Type:||MPRA Paper|
|Original Title:||Optimal Strategies for Automated Traders in a Producer-Consumer Futures Market|
|Keywords:||Automated traders; optimal strategies; agent based|
|Subjects:||C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods
D - Microeconomics > D4 - Market Structure and Pricing > D40 - General
C - Mathematical and Quantitative Methods > C7 - Game Theory and Bargaining Theory > C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games
|Depositing User:||Fodil LAIB|
|Date Deposited:||23. Jan 2009 17:33|
|Last Modified:||14. Feb 2013 13:02|
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