连续双向拍卖市场中的一种自适应竞价策略研究

南京大学学报(自然科学版) ›› 2015, Vol. 51 ›› Issue (2): 368–376.

连续双向拍卖市场中的一种自适应竞价策略研究

栾海军1，董红斌1*，周阳2

出版日期:2015-03-30 发布日期:2015-03-30
作者简介:(1. 哈尔滨工程大学计算机科学与技术学院,哈尔滨,150001; 2. 哈尔滨工程大学人文社会科学学院,哈尔滨,150001)
基金资助:
国家自然科学基金( 6 1 4 7 2 0 9 5 , 6 1 2 7 2 1 8 6 )

A self-adaptive bidding strategy in continuous double auction market

Luan Haijun1, Dong Hongbin1*, Zhou Yang2

Online:2015-03-30 Published:2015-03-30
About author:(1. College of Computer Science and Technology, Harbin Engineering University, Harbin, 150001, China;
2. College of Humanities and Social Sciences, Harbin Engineering University, Harbin, 150001, China)

摘要/Abstract

摘要： 近年来随着电子商务的发展，连续双向拍卖(CDA)已经广泛应用到社会的各个交易领域，如纳斯达克，纽约证券交易所，深交所等国内外股票交易市场。针对传统双向拍卖市场的竞价策略缺乏智能性的特点，提出了一种自适应竞价策略（Self-Adaptive Bidding Strategy，SA竞价策略）使交易者无论以买方角度还是卖方角度均能获得较高的收益。该策略将整个交易过程分成三个阶段，交易者根据所在不同阶段分别采用不同竞价策略。在第一阶段和第三阶段分别采用观望策略和薄利多销策略，第二阶段是交易者获得收益的主要阶段，所以本阶段的交易agent具有短期和长期两种学习规则，通过对两种学习结果的整合为其提供占优的竞价。采用SA策略的agent能够根据市场情况的变化动态地调整报价。最后仿真结果表明提出的SA策略是一种能够获得较高收益的竞价策略并且在交易成功率方面也明显优于其他策略。

Abstract: In recent years, along with the development of electronic commerce, continuous double auction (CDA) has been widely applied to many trading areas of society, such as the NASDAQ, the New York Stock Exchange and other stock exchanges. The characterizes of bidding strategy for the traditional double auction market is lack of intelligence,for this reason we present the design and analysis of a new self-adaptive bidding strategy (self-adaptive bidding strategy, SA bidding strategy) allows the trader to obtain a higher profit no matter which side it is.Not only heuristic rules but also a reasoning mechanism ,short-term and long-term,are employed by this strategy. Agents adopting the strategy dynamically adjust their behaviors in response to the changes of the market. In the experiments,we studied the performance of the SA bidding strategies and compared it with other classic bidding strategies included ZI-C, ZI-U,AA,GNP-AP. Experimental results show that agents adopting the strategy superior to the other strategies in terms of trading success rate and profit.

栾海军1，董红斌1*，周阳2. 连续双向拍卖市场中的一种自适应竞价策略研究[J]. 南京大学学报(自然科学版), 2015, 51(2): 368–376.

Luan Haijun1, Dong Hongbin1*, Zhou Yang2. A self-adaptive bidding strategy in continuous double auction market[J]. Journal of Nanjing University(Natural Sciences), 2015, 51(2): 368–376.

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