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

Fodil Laib () and Ms Radjef

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Automated traders; optimal strategies; agent based (search for similar items in EconPapers)
JEL-codes: C02 C73 D40 (search for similar items in EconPapers)
Date: 2008-05-08
New Economics Papers: this item is included in nep-cmp, nep-cse and nep-mst
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:12965

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