Automatizing Price Negotiation in Commodities Markets
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 28277.
Date of creation: 24 May 2010
Date of revision:
Automated Traders; Optimal Strategies; Futures Market; Commodities Trading;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- 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-2011-01-30 (All new papers)
- NEP-MIC-2011-01-30 (Microeconomics)
- NEP-MST-2011-01-30 (Market Microstructure)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Laib, Fodil & Radjef, MS, 2008. "Optimal Strategies for Automated Traders in a Producer-Consumer Futures Market," MPRA Paper 12965, University Library of Munich, Germany.
- Levy, Moshe, 2008. "Stock market crashes as social phase transitions," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 137-155, January.
- Michael J. Barclay & Terrence Hendershott & D. Timothy McCormick, 2003. "Competition among Trading Venues: Information and Trading on Electronic Communications Networks," Journal of Finance, American Finance Association, vol. 58(6), pages 2637-2666, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.