[1]张重毅,刘彦斌,于繁华,等.CDA市场环境模型进化研究[J].深圳大学学报理工版,2010,27(4):413-419.
 ZHANG Zhong-yi,LIU Yan-bin,YU Fan-hua,et al.Research on the evolution model of CDA market environment[J].Journal of Shenzhen University Science and Engineering,2010,27(4):413-419.
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CDA市场环境模型进化研究()
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《深圳大学学报理工版》[ISSN:1000-2618/CN:44-1401/N]

卷:
第27卷
期数:
2010年4期
页码:
413-419
栏目:
光电与信息工程
出版日期:
2010-10-31

文章信息/Info

Title:
Research on the evolution model of CDA market environment
文章编号:
1000-2618(2010)04-0413-07
作者:
张重毅12刘彦斌1于繁华2李继光1刘大有1
1)吉林大学计算机科学与技术学院,长春 130012
2)长春师范学院计算机科学与技术学院,长春 130032
Author(s):
ZHANG Zhong-yi12LIU Yan-bin1YU Fan-hua2LI Ji-guang1and LIU Da-you1
1)College of Computer Science and Technology, Jilin University, Changchun 130012, P.R.China
2)College of Computer Science and Technology, Changchun Normal University, Changchun 130032, P.R.China
关键词:
人工智能agent报价算法资本市场建模动态连续双边拍卖报价策略价格振荡 智能交易模型
Keywords:
artificial intelligenceagent bidding algorithmcapital market modelingdynamic continuous double auctionbidding strategyprice shockingintelligent transacton model
分类号:
TP 182;TP 39
文献标志码:
A
摘要:
研究连续双边拍卖 (continuous double auction, CDA)市场,分析现有工作静态环境与现实世界CDA市场动态性要求的差异,提出一种符合市场需求的动态连续双边拍卖(dynamic continuous double action,DCDA)市场模型.该模型可模拟价格上涨、下跌和振荡等波动行为.将经典智能报价算法GD模型和GDX模型应用于此环境中,分析其在动态CDA市场模型中的表现.结果表明,GD模型和GDX模型在DCDA中的市场效率低于两模型在静态市场中的市场效率.
Abstract:
Based on the research of continuous double auction ( CDA ) market and the analysis of the inconsistency between the static environment proposed by existing research works and the demands of dynamic practical CDA market,we presented a dynamic CDA ( DCDA ) market model,which was more close to the real-world market. This model could simulate the price shocks,such as rising,declining and shaking. Two sophisticated bidding strategies,the GD model and the GDX model,were employed in the evaluating process. The experimental results show that the performance of the GD model and the GDX model in DCDA is worse than their performance in the static CDA.

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备注/Memo

备注/Memo:
收稿日期:2009-08-06;修回日期:2010-05-28
基金项目:国家自然科学基金项目(60973088,60773099)
作者简介:张重毅(1981-),女(汉族),吉林省长春市人,吉林大学博士研究生.E-mail:zhyizhang@gmail.com
通讯作者:刘大有(1942-),男(汉族),吉林大学教授、博士生导师.E-mail:dyliu@jlu.edu.cn
更新日期/Last Update: 2010-11-08