基于随机游走成交价格的连续竞价市场交易策略

Trading Strategy in Continuous Double Auction Based on Randomly Walking Prices

随机游走市场中的证券价格变动是不可预测的,如何在这样的市场中设计交易策略是一个难点问题。本文在MATLAB平台上构建了一个满足随机游走的人工连续竞价市场,提出了一个"盯准最优价格"(Eye-On-Best,简称EOB)交易策略。通过不同类型供需曲线下的位置替换重复仿真实验,比较了EOB策略和"约束型零信息"(简称ZI-C)策略的收益差异。研究表明,EOB策略获得的收益总体上优于ZI-C策略,且其收益受市场力的影响。研究结论为交易者在满足随机游走的证券市场如何进行报价提供决策依据。

The fluctuation of price is unpredictable in a security market with randomly walking prices.As a result,it is difficult to design trading strategy in such a market.This paper establishes an artificial continuous double auction(CDA)market with ZI-C agents on MATLAB platform,in which transaction prices satisfy random walk;and provides a new trading strategy named as Eye-On-Best(EOB).The profit difference between the EOB and the ZI-C is compared by repeated simulations in the way of replacing the position(or one-in-many) under different types of supply-demand curves.The result shows that the EOB agent gets more profits than the ZI-C agent in general,which is affected by the market power.Our findings provide a basis for decision- making in a security market with randomly walking prices.