Laib, Fodil and Radjef, MS (2010): Automatizing Price Negotiation in Commodities Markets.
Download (235kB) | Preview
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|
 W.B. Arthur, J.H. Holland, B. LeBaron, R. Palmer, P. Tayler, Asset pricing under expectations in an artificial stock market, Economic Notes, 26 (1997), 297-330.
 M.J. Barcley, T. Hendershott, D.T. McCormick, Competition among trading venues: information and trading on electronic communications networks, The Journal of Finance, 58 (2003), 2637-2665.
 CBOT, Commodity trading manual, Chicago Board of Trade of the city of Chicago, Chicago, 1998.
 J.C. Hull, Fundamentals of futures and options markets, Fourth edition, Pearson Education Inc., Upper Saddle River, New Jersey, 2002.
 M. Levy, Stock market crashes as social phase transitions, Journal of Economic Dynamics and Control, 32 (2008), 137-155.
 J.J. Murphy, Technical analysis of the financial markets, New York Institute of Finance, New York, 1999.
 M. O’Hara, Market microstructure theory, Willey, New York, 1998.
 C. Preist, Commodity trading using an agent-based iterated double auction, Proceedings of the ACM conference on autonomous agents, pages 131-138, 1999.
 M.S. Radjef, F. Laib, On the mechanism of the futures market: a formulation and some analytical properties, Proceedings of the 13th International Symposium on Dynamic Games and Applications, Wroclaw University, Poland, 2008.
 M.S. Radjef, F. Laib, Optimal strategies for automated traders in a producerconsumer futures market, 7th International Workshop on Dynamic Games, Djerba, Tunisia, July 2009.
 R. Roll, The international crash of October 1987, Financial Analyst Journal, 44 (1988), 19-35.
 R.B. Shelton, Gaming the market: applying game theory to generate winning trading strategies, John Wiley & Sons Inc., New York, 1997.
 R.J. Teweles, F.J. Jones, The futures game: who wins? who loses? and why? McGraw-Hill, New York, 1999.
 B.W. Weber, Adoption of electronic trading at the International Securities Exchange, Decision Support Systems, 41 (2006), 728-746.