Optimal Strategies for Automated Traders in a Producer-Consumer Futures Market

摘要

The aim of this work is to show how automated traders can operate a futuresmarket. First, we established some hypothesises on the properties of the’correct’ price pattern which translates accurately the underlying moves in thesupply/demand balance and the nominal price, then mathematical measureswere derived allowing to estimate the efficiency of a given trading strategy. Asa starting step, we applied our approach to a simplified market setup whereonly two automated traders, a producer and a consumer, can trade. Theyreceive a stream of forecasts on supply and demand levels and they shouldreact instantaneously by adjusting these forecasts, then issuing sale and buyorders. Later, we suggested a parameterized trading strategy for the two automatons.Finally, we obtained by simulation the optimal parameters of thisstrategy in some particular cases.