连续双向拍卖市场中基于马尔可夫链的交易策略研究

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Chinese Journal of Management Science ›› 2008, Vol. 16 ›› Issue (1): 111-116.

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Study of Trading Strategy Based on Markov Chain in Continuous Double Auction Market

ZHAN Wen-jie, YANG Jie

School of Management, Huazhong University of Science & Technology, Wuhan 430074, China

Received:2007-01-08 Revised:2008-01-13 Online:2008-02-28 Published:2008-02-28

Abstract

Abstract: The work to design trading strategy in a continuous double auction market is more complex than that in one-side auction. This paper firstly tests the Markov character of the sequence of transaction price in the continuous double auction market with ZI-C (Zero-Intelligence with Constraint) traders. Then a new trading strategy based on the Markov chain is provided. Finally,the new trading strategy is proved to be superior to the ZI-C strategy by control experiments.

Key words: continuous double auction, trading strategy, Markov chain

CLC Number:

F830

ZHAN Wen-jie, YANG Jie. Study of Trading Strategy Based on Markov Chain in Continuous Double Auction Market[J]. Chinese Journal of Management Science, 2008, 16(1): 111-116.

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Study of Trading Strategy Based on Markov Chain in Continuous Double Auction Market

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