Bi-directional double auction for financial market simulation

Meng Chang, Minghua He, Aniko Ekárt, Xudong Luo, Shichao Zhang

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Typical Double Auction (DA) models assume that trading agents are one-way traders. With this limitation, they cannot directly reflect the fact individual traders in financial markets (the most popular application of double auction) choose their trading directions dynamically. To address this issue, we introduce the Bi-directional Double Auction (BDA) market which is populated by two-way traders. Based on experiments under both static and dynamic settings, we find that the allocative efficiency of a static continuous BDA market comes from rational selection of trading directions and is negatively related to the intelligence of trading strategies. Moreover, we introduce Kernel trading strategy designed based on probability density estimation for general DA market. Our experiments show it outperforms some intelligent DA market trading strategies.

Original languageEnglish
Title of host publication12th International Conference on Autonomous Agents and Multiagent Systems 2013, AAMAS 2013
PublisherACM
Pages1313-1314
Number of pages2
Volume2
ISBN (Print)978-1-4503-1993-5
Publication statusPublished - 6 May 2013
Event12th international conference on Autonomous Agents and Mult-Agent Systems 2013 - Saint Paul, MN, United States
Duration: 6 May 201310 May 2013

Conference

Conference12th international conference on Autonomous Agents and Mult-Agent Systems 2013
Abbreviated titleAAMAS 2013
CountryUnited States
CitySaint Paul, MN
Period6/05/1310/05/13

Fingerprint

Experiments
Financial markets

Keywords

  • artificial market
  • double auction
  • Kernel
  • multi-agent

Cite this

Chang, M., He, M., Ekárt, A., Luo, X., & Zhang, S. (2013). Bi-directional double auction for financial market simulation. In 12th International Conference on Autonomous Agents and Multiagent Systems 2013, AAMAS 2013 (Vol. 2, pp. 1313-1314). ACM.
Chang, Meng ; He, Minghua ; Ekárt, Aniko ; Luo, Xudong ; Zhang, Shichao. / Bi-directional double auction for financial market simulation. 12th International Conference on Autonomous Agents and Multiagent Systems 2013, AAMAS 2013. Vol. 2 ACM, 2013. pp. 1313-1314
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Chang, M, He, M, Ekárt, A, Luo, X & Zhang, S 2013, Bi-directional double auction for financial market simulation. in 12th International Conference on Autonomous Agents and Multiagent Systems 2013, AAMAS 2013. vol. 2, ACM, pp. 1313-1314, 12th international conference on Autonomous Agents and Mult-Agent Systems 2013, Saint Paul, MN, United States, 6/05/13.

Bi-directional double auction for financial market simulation. / Chang, Meng; He, Minghua; Ekárt, Aniko; Luo, Xudong; Zhang, Shichao.

12th International Conference on Autonomous Agents and Multiagent Systems 2013, AAMAS 2013. Vol. 2 ACM, 2013. p. 1313-1314.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Chang M, He M, Ekárt A, Luo X, Zhang S. Bi-directional double auction for financial market simulation. In 12th International Conference on Autonomous Agents and Multiagent Systems 2013, AAMAS 2013. Vol. 2. ACM. 2013. p. 1313-1314