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Optimal Strategies for Automated Traders in a Producer-Consumer Futures Market

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  • Laib, Fodil
  • Radjef, MS

Abstract

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.

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File URL: http://mpra.ub.uni-muenchen.de/12965/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 12965.

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Date of creation: 08 May 2008
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Handle: RePEc:pra:mprapa:12965

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Keywords: Automated traders; optimal strategies; agent based;

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Cited by:
  1. Laib, Fodil & Radjef, MS, 2010. "Automatizing Price Negotiation in Commodities Markets," MPRA Paper 28277, University Library of Munich, Germany.

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