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The effects of periodic and continuous market environments on the performance of trading agents

机译：周期性和连续性市场环境对交易代理人业绩的影响

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Simulation experiments are conducted on simple continuous double auction (CDA) markets based on the experimental economics work of Vernon Smith. CDA models within experimental economics usually consist of a sequence of discrete trading periods or 'days', with allocations of stock and currency replenished at the start of each day, a situation we call 'periodic' replenishment. In our experiments we look at both periodic and continuous-replenishment versions of the CDA. In this we build on the work of Cliff and Preist (2001) with human subjects, but we replace human traders with Zero Intelligence Plus (ZIP) trading agents, a minimal algorithm that can produce equilibrating market behaviour in CDA models. Our results indicate that continuous-replenishment (CR) CDA markets are similar to conventional periodic CDA markets in their ability to show equilibration dynamics. Secondly we show that although both models produce the same behaviour of price formation, they are different playing fields, as periodic markets are more efficient over time than their continuous counterparts. We also find, however, that the volume of trade in periodic CDA markets is concentrated in the early period of each trading day, and the market is in this sense inefficient. We look at whether ZIP agents require different parameters for optimal behaviour in each market type, and find that this is indeed the case. Overall, our conclusions mirror earlier findings on the robustness of the CDA, but we stress that a CR-CDA marketplace equilibrates in a different way to a periodic one.
机译：基于Vernon Smith的实验经济学工作，在简单的连续双拍卖（CDA）市场上进行了模拟实验。实验经济学中的CDA模型通常由一系列离散的交易周期或“天”组成，每天开始时都会补充库存和货币分配，这种情况我们称为“定期”补充。在我们的实验中，我们研究了CDA的定期和连续补货版本。在本文中，我们基于Cliff and Preist（2001）在人类主题上的工作，但是我们将人类交易者替换为零智商（ZIP）交易代理，这是一种最小的算法，可以在CDA模型中产生均衡的市场行为。我们的结果表明，连续补货（CR）CDA市场与传统的定期CDA市场在显示均衡动态方面的能力相似。其次，我们表明，尽管两种模型都产生相同的价格形成行为，但它们却是不同的竞争领域，因为随着时间的推移，周期性市场要比其连续对应的市场更有效率。但是，我们还发现，定期CDA市场的交易量集中在每个交易日的初期，从这个意义上说，市场效率低下。我们研究了ZIP代理在每种市场类型中是否需要不同的参数来实现最佳行为，并发现确实如此。总体而言，我们的结论反映了CDA健壮性的早期发现，但我们强调CR-CDA市场与周期性市场的平衡方式不同。

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