A trader's execution strategy has a large effect on his profits. Identifying an optimal strategy, however, is often frustrated by the complexity of market microstructure's. We analyse an order book based continuous double auction market under two different models of trader's behaviour. In the...

Technical trading strategies make profits by identifying and exploiting patterns in market prices — patterns generated by the interaction of market participants. This paper examines model markets composed of traders using a range of trading rules, and identifies the ecologies under which...