Optimal Strategies for Automated Traders in a Producer-Consumer Futures Market
AbstractThe 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 12965.
Date of creation: 08 May 2008
Date of revision:
Automated traders; optimal strategies; agent based;
Find related papers by JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- D40 - Microeconomics - - Market Structure and Pricing - - - General
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-31 (All new papers)
- NEP-CMP-2009-01-31 (Computational Economics)
- NEP-CSE-2009-01-31 (Economics of Strategic Management)
- NEP-MST-2009-01-31 (Market Microstructure)
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- Laib, Fodil & Radjef, MS, 2010. "Automatizing Price Negotiation in Commodities Markets," MPRA Paper 28277, University Library of Munich, Germany.
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