Convergence of trading strategies in continuous double auction markets with boundedly-rational networked traders

Junhuan Zhang (), Peter McBurney and Katarzyna Musial
Additional contact information
Junhuan Zhang: Beihang University
Peter McBurney: King’s College London
Katarzyna Musial: Bournemouth University

Review of Quantitative Finance and Accounting, 2018, vol. 50, issue 1, No 10, 352 pages

Abstract: Abstract This paper considers the convergence of trading strategies among artificial traders connected to one another in a social network and trading in a continuous double auction financial marketplace. Convergence is studied by means of an agent-based simulation model called the Social Network Artificial stoCk marKet model. Six different canonical network topologies (including no-network) are used to represent the possible connections between artificial traders. Traders learn from the trading experiences of their connected neighbours by means of reinforcement learning. The results show that the proportions of traders using particular trading strategies are eventually stable. Which strategies dominate in these stable states depends to some extent on the particular network topology of trader connections and the types of traders.

Keywords: Market microstructure; Agent-based modeling; Social networks; Investment decisions; Automated trading; Continuous double auctions; Reinforcement learning (search for similar items in EconPapers)
JEL-codes: C73 D44 D47 G02 G11 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://link.springer.com/10.1007/s11156-017-0631-3 Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0631-3

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/11156/PS2

DOI: 10.1007/s11156-017-0631-3

Access Statistics for this article

Review of Quantitative Finance and Accounting is currently edited by Cheng-Few Lee

More articles in Review of Quantitative Finance and Accounting from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().