Time-dependent trading strategies in a continuous double auction
We model a continuous double auction with heterogenous agents and compute approximate optimal trading strategies using evolution strategies. Agents privately know their values and costs and have a limited time to transact. We focus on equilibrium strategies that are developed taking into account the number of traders that submitted orders previously, as well as the number of who will submit subsequently. We find that it is optimal to place increasingly aggressive orders, according to a roughly linear schedule, and test the resulting equilibrium for robustness and accuracy.
|Date of creation:||2011|
|Date of revision:|
|Contact details of provider:|| Postal: Cannaregio, S. Giobbe no 873 , 30121 Venezia|
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- Thierry Foucault & Ohad Kadan & Eugene Kandel, 2011. "Limit Order Book as a Market for Liquidity," Working Papers hal-00597190, HAL.
- Thierry Foucault & Ohad Kadan & Eugene Kandel, 2003. "Limit Order Book as a Market for Liquidity," Discussion Paper Series dp321, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
- Thierry Foucault & Ohad Kadan & Eugene Kandel, 2005. "Limit Order Book as a Market for Liquidity," Post-Print hal-00459785, HAL.
- Foucault, Thierry & Kadan, Ohad & Kandel, Eugene, 2001. "Limit Order Book as a Market for Liquidity," CEPR Discussion Papers 2889, C.E.P.R. Discussion Papers.
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