Research Of Agent-based Continuous Double Auction Trading Strategies

Auction is a kind of transaction form and price discovery mechanism with a long history.After many years of theoretical research and practical verification, the auction gradually formed a complete theoretical system. In many branches of the auction, the continuous double auction market has attracted much attention because of its unique market structure characteristics and broad application prospects. With the continuous development of artificial intelligence, Agent technology gradually extends to all fields of research. The combination of Agent technology and continuous double auction market can give full play to its autonomy,intelligence, cooperation and other features, then make up for the weaknesses of the traditional auction, such as price discovery mechanism's inflexibility and the lack of adaptability to the trading environment. Therefore, the combination of Agent and continuous double auction has wide space for development.Aiming at solving this problem, the following work is done in this paper. First of all, the current continuous double auction theory and classic trading strategies are deeply analyzed,including ZI-C, ZI-P, AA and GD strategies. Then the advantages and disadvantages of each strategy are concluded. Furthermore, a continuous double auction trading strategy that can better adapt to the changes of market is put forward. Secondly, many researchers have ignored the effect of the reserve price which has an impact on the revenue and market efficiency.Therefore, this paper proposes a continuous double auction trading strategy, which allows the trader to intelligently determine their reserve prices to obtain more benefits. At the end of this paper, the proposed transaction strategies are compared with ZI-C and AA strategies. With deep analysis and comparison, PA strategy turns to be efficient in both revenue and market efficiency, and self-adaptive reserve price strategy can bring more profit to traders.