Research On The Trading Strategy Of Continuous Double Auction Based On Markup And Time Dimension

In the market of double auction, due to the asymmetry of information, both the buyersand sellers are faced with a very complex offering and decision-making process. Even insuch an environment, a double auction market will generally produce more than90%of themarket efficiency, but the characteristics of efficient allocation of resources are not alwaysexisting. In some supply and demand curves, the efficiency of a double auction market willbe very low.This paper puts the markup dimension and time dimension of trading strategies as thebreakthrough point, and explores how to eliminate the influence of the shape of supply anddemand curves on the market allocation of resources. This paper firstly analyzes thecharacteristics of the traditional double auction experiment, online double auctionexperiment and double auction simulation experiment in detail and explains the necessity ofchoosing a computer simulation. On the basis of deeply analyzing the model of classicquotation strategy, C language is used to design and implement related algorithms, and thespeed of simulation is fast so that a large number of simulation experiments can be finishedin a short time. In order to fully dig the characteristics of each trading strategies, this paperconducts a corresponding optimization and design from the aspect of markup and timedimension. In the aspect of markup dimension, considering the intelligent trading strategiesneed a period of learning to achieve the optimal state, thus the continuous experimentperiod environment is constructed. In the aspect of time dimension, a model of quotationtime is designed, which can be used to describe the quotation time of different tradingstrategies, and with the aid of this model, we can add the mechanism of quotation time intothe simulation algorithm.The results of experiment shows that GD strategy can eliminate the influence of theshape of supply and demand curves on the market allocation of resources, and so do the GD strategy with no quotation time. But ZIP strategy with quotation time cannot completelyeliminate the influence of the shape of supply and demand curves on the market allocationof resources. Finally from microscopic angle of the market, the qualitative explanation ofhow the markup plays a key role is given, and at the same time, the significant effect ofquotation time on the quotation numbers is also found.