RELATIONSHIP BETWEEN OFFER STRATEGY AND TRADE RATIO FOR k-ZI TRADERS IN CONTINUOUS DOUBLE AUCTION MARKET

摘要

Our previous experiments in a continuous double auction market with k-ZI traders have produced interesting results: (1) the number of transactions increases when parameter "k" increases and (2) different values of "k" reflect differently offer strategies for k-ZI traders. In this paper, we prove theoretically and experimentally a relationship between the trade ratio and the offer strategy for k-ZI traders in a continuous double auction market. An important implication of the relationship is that a trader's offer strategy is able to influence the performance of a continuous double auction market, such as the number of transactions. Consequently, the trader's offer strategy is an important parameter to help us to analyze the "Smith's mystery" by controlled experiments.