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A. Krause

Xinyang Li & Andreas Krause

Intelligent Systems in Accounting, Finance and Management: An International Journal2011article
ABDC B
Weight
0.35

Abstract

We evaluate an agent-based model featuring near-zero-intelligence traders operating in a call market with a wide range of trading rules governing the determination of prices and which orders are executed, as well as a range of parameters regarding market intervention by market makers and the presence of informed traders. We optimize these trading rules using a multi-objective population-based incremental learning algorithm seeking to maximize the trading volume and minimize the bid–ask spread. Our results suggest that markets should choose a small tick size if concerns about the bid–ask spread are dominating and a large tick size if maximizing trading volume is the main aim. We also find that unless concerns about trading volume dominate, time priority is the optimal priority rule. Copyright © 2011 John Wiley & Sons, Ltd.

3 citations

Cite this paper

@article{xinyang2011,
  title        = {{A. Krause}},
  author       = {Xinyang Li & Andreas Krause},
  journal      = {Intelligent Systems in Accounting, Finance and Management: An International Journal},
  year         = {2011},
}

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Evidence weight

0.35

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.25 × 0.4 = 0.10
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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