Research

An evolutionary multi-objective optimization of trading rules in call markets


Reference:

Li, X. and Krause, A., 2011. An evolutionary multi-objective optimization of trading rules in call markets. Intelligent Systems in Accounting, Finance and Management, 18 (1), pp. 1-14.

Related documents:

This repository does not currently have the full-text of this item.
You may be able to access a copy if URLs are provided below. (Contact Author)

Official URL:

http://dx.doi.org/10.1002/isaf.320

Abstract

We evaluate an agent-based model featuring near-zero-intelligence traders operating in a call market with a wide range of trading rules governing the determination of prices and which orders are executed, as well as a range of parameters regarding market intervention by market makers and the presence of informed traders. We optimize these trading rules using a multi-objective population-based incremental learning algorithm seeking to maximize the trading volume and minimize the bid–ask spread. Our results suggest that markets should choose a small tick size if concerns about the bid–ask spread are dominating and a large tick size if maximizing trading volume is the main aim. We also find that unless concerns about trading volume dominate, time priority is the optimal priority rule.

Details

Item Type Articles
CreatorsLi, X.and Krause, A.
DOI10.1002/isaf.320
DepartmentsSchool of Management
RefereedYes
StatusPublished
ID Code25565

Export

Actions (login required)

View Item