Laib, Fodil and Radjef, MS (2010): Automatizing Price Negotiation in Commodities Markets.
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This is an introductory work to trade automatization of the futures market, so far operated by human traders. We are not focusing on maximizing individual profits of any trader as done in many studies, but rather we try to build a stable electronic trading system allowing to obtain a fair price, based on supply and demand dynamics, in order to avoid speculative bubbles and crashes. In our setup, producers and consumers release regularly their forecasts of output and consumption respectively. Automated traders will use this information to negotiate price of the underlying commodity. We suggested a set of analytical criteria allowing to measure the efficiency of the automatic trading strategy in respect to market stability.
|Item Type:||MPRA Paper|
|Original Title:||Automatizing Price Negotiation in Commodities Markets|
|Keywords:||Automated Traders, Optimal Strategies, Futures Market, Commodities Trading|
|Subjects:||D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C63 - Computational Techniques; Simulation Modeling
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:||21. Jan 2011 15:51|
|Last Modified:||12. Feb 2013 06:45|
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