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中国管理科学

中国管理科学 ›› 2008, Vol. 16 ›› Issue (1): 111-116.

• 论文 • 上一篇    下一篇

连续双向拍卖市场中基于马尔可夫链的交易策略研究

詹文杰, 杨洁   

  1. 华中科技大学管理学院 武汉430074
  • 收稿日期:2007-01-08 修回日期:2008-01-13 出版日期:2008-02-28 发布日期:2008-02-28
  • 作者简介:詹文杰(1970- ),男(汉族),湖南桃江人,华中科技大学管理学院副教授,研究方向:拍卖理论、实验经济学.
  • 基金资助:

    国家自然科学基金资助项目(70301013)

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

ZHAN Wen-jie, YANG Jie   

  1. School of Management, Huazhong University of Science & Technology, Wuhan 430074, China
  • Received:2007-01-08 Revised:2008-01-13 Online:2008-02-28 Published:2008-02-28

PDF (PC)

1758

被引次数

23

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。

关键词: 连续双向拍卖, 交易策略, 马尔可夫链

Abstract: 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.

Key words: continuous double auction, trading strategy, Markov chain

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