Relationship Between Offer Strategy and Trade Ratio fork-ZI Traders in Continuous Double Auction Market

Wenjie Zhan, Shouyang Wang () and K. K. Lai
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Wenjie Zhan: School of Management, Huazhong University of Science and Technology, Wuhan 430074, China
Shouyang Wang: Institute of Systems Science, Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing 100080, China;
K. K. Lai: Department of Management Sciences, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, China

International Journal of Information Technology & Decision Making (IJITDM), 2003, vol. 02, issue 03, 381-395

Abstract: Our previous experiments in a continuous double auction market withk-ZI traders have produced interesting results: (1) the number of transactions increases when parameter "k" increases and (2) different values of "k" reflect differently offer strategies fork-ZI traders. In this paper, we prove theoretically and experimentally a relationship between the trade ratio and the offer strategy fork-ZI traders in a continuous double auction market. An important implication of the relationship is that a trader's offer strategy is able to influence the performance of a continuous double auction market, such as the number of transactions. Consequently, the trader's offer strategy is an important parameter to help us to analyze the "Smith's mystery" by controlled experiments.

Keywords: Continuous double auction; k-ZI; offer strategy; trade ratio (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1142/S0219622003000719

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