基于标高和时间维度的连续竞价交易策略分析-analysis of continuous bidding strategy based on elevation and time dimensions.docxVIP

AbstractInthemarketofdoubleauction,duetotheasymmetryofinformation,boththebuyers andsellersarefacedwithaverycomplexofferinganddecision-makingprocess.Eveninsuchanenvironment,adoubleauctionmarketwillgenerallyproducemorethan90%ofthemarketefficiency,butthecharacteristicsofefficientallocationofresourcesarenotalways existing.Insomesupplyanddemandcurves,theefficiencyofadoubleauctionmarketwillbeverylow.Thispaperputsthemarkupdimensionandtimedimensionoftradingstrategiesasthebreakthroughpoint,andexploreshowtoeliminatetheinfluenceoftheshapeofsupplyanddemandcurvesonthemarketallocationofresources.Thispaperfirstlyanalyzesthecharacteristicsofthetraditionaldoubleauctionexperiment,onlinedoubleauctionexperimentanddoubleauctionsimulationexperimentindetailandexplainsthenecessityof choosingacomputersimulation.Onthebasisofdeeplyanalyzingthemodelofclassicquotationstrategy,Clanguageisusedtodesignandimplementrelatedalgorithms,andthespeedofsimulationisfastsothatalargenumberofsimulationexperimentscanbefinishedinashorttime.Inordertofullydigthecharacteristicsofeachtradingstrategies,thispaperconductsacorrespondingoptimizationanddesignfromtheaspectofmarkupandtimedimension.Intheaspectofmarkupdimension,consideringtheintelligenttradingstrategiesneedaperiodoflearningtoachievetheoptimalstate,thusthecontinuousexperimentperiodenvironmentisconstructed.Intheaspectoftimedimension,amodelofquotationtimeisdesigned,whichcanbeusedtodescribethequotationtimeofdifferenttradingstrategies,andwiththeaidofthismodel,wecanaddthemechanismofquotationtimeintothesimulationalgorithm.TheresultsofexperimentshowsthatGDstrategycaneliminatetheinfluenceoftheshapeof supply and demand curves on the market allocation ofresources, and so do the GDstrategywithnoquotationtime.ButZIPstrategywithquotationtimecannotcompletelyeliminatetheinfluenceoftheshapeofsupplyanddemandcurvesonthemarketallocationofresources.Finallyfrommicroscopicangleofthemarket,thequalitativeexplanationof howthemarkupplaysakeyroleisgiven,andatthesametime,thesignificantef