How Trading Strategy determine Price Behavior in Continuous Double Auction Market

摘要

This paper studies the price behavior of the continuous double auction (CDA) market with homogenous Zerointelligence with constraint (ZI-C) agents,homogenous Zero-intelligence plus (ZIP) agents,and heterogeneous agents of the two by simulation.The statistic analysis and the time series analysis to the price behavior are given.We find that when there are more agents who apply the same strategy,the price behavior gets closer to that with the homogenous strategy,which is helpful to understand how the trading strategy determines the price behavior in financial exchanges.