Time-dependent trading strategies in a continuous double auction

Shira Fano () and Paolo Pellizzari

No 2011_03, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: 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.

Keywords: Continuous double auction; equilibrium trading strategies; evolution strategies. (search for similar items in EconPapers)
JEL-codes: C61 C63 D44 D53 (search for similar items in EconPapers)
Pages: 16
Date: 2011
New Economics Papers: this item is included in nep-cta
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Citations: View citations in EconPapers (1)

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Related works:
Chapter: Time-Dependent Trading Strategies in a Continuous Double Auction (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2011_03

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