连续双向拍卖市场中基于马尔可夫链的交易策略研究被引量：11

Study of Trading Strategy Based on Markov Chain in Continuous Double Auction Market

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摘要连续双向拍卖市场中交易策略的设计问题远比单向拍卖复杂,本文首先检验了该市场中交易价格的马尔可夫性质,然后据此提出了基于马尔可夫链的自学习动态交易策略,最后通过比较实验发现,该策略明显优于"约束型零信息"策略。 The work to design trading strategy in a continuous double auction market is more complex than that in one--side auction. This paper firstly tests the Markov character of the sequence of transaction price in the continuous double auction market with ZI--C （Zero--Intelligence with Constraint） traders. Then a new trading strategy based on the Markov chain is provided. Finally, the new trading strategy is proved to be superior to the ZI--C strategy by control experiments.

作者詹文杰杨洁

机构地区华中科技大学管理学院

出处《中国管理科学》 CSSCI 2008年第1期111-116,共6页 Chinese Journal of Management Science

基金国家自然科学基金资助项目(70301013)

关键词连续双向拍卖交易策略马尔可夫链 continuous double auction trading strategy Markov chain

分类号 F830 [经济管理—金融学]

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