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Time-dependent trading strategies in a continuous double auction

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Time-Dependent Trading Strategies in a Continuous Double Auction

Fano, Shira - 2011

We model a continuous double auction with heterogenous agents and compute approximate optimal trading strategies using evolution strategies. Agents privately know their values and costs and have a limited time to transact. We focus on equilibrium strategies that are developed taking into account...

Persistent link: https://www.econbiz.de/10013125104