7 research outputs found
Some mathematical properties of the futures market platform
This is an introductory work to analytical properties of the futures market platformās main parameters. The underlying mechanism of this market structure is formulated into a mathematical dynamical model. Some mathematical properties of tradersā positions, their potential and realized wealths, market open interest and average price, are stated and demonstrated.futures market platform, open interest
Automatizing Price Negotiation in Commodities Markets
This is an introductory work to trade automatization of the futures market, so far operated by human traders. We are not focusing on maximizing individual profits of any trader as done in many studies, but rather we try to build a stable electronic trading system allowing to obtain a fair price, based on supply and demand dynamics, in order to avoid speculative bubbles and crashes. In our setup, producers and consumers release regularly their forecasts of output and consumption respectively. Automated traders will use this information to negotiate price of the underlying commodity. We suggested a set of analytical criteria allowing to measure the efficiency of the automatic trading strategy in respect to market stability.Automated Traders, Optimal Strategies, Futures Market, Commodities Trading
Optimal Strategies for Automated Traders in a Producer-Consumer Futures Market
The aim of this work is to show how automated traders can operate a futures market. First, we established some hypothesises on the properties of the ācorrectā price pattern which translates accurately the underlying moves in the supply/demand balance and the nominal price, then mathematical measures were derived allowing to estimate the efficiency of a given trading strategy. As a starting step, we applied our approach to a simplified market setup where only two automated traders, a producer and a consumer, can trade. They receive a stream of forecasts on supply and demand levels and they should react instantaneously by adjusting these forecasts, then issuing sale and buy orders. Later, we suggested a parameterized trading strategy for the two automatons. Finally, we obtained by simulation the optimal parameters of this strategy in some particular cases.Automated traders; optimal strategies; agent based
Some mathematical properties of the futures market platform
This is an introductory work to analytical properties of the futures market platformās main parameters. The underlying mechanism of this market structure is formulated into a mathematical dynamical model.
Some mathematical properties of tradersā positions, their potential and realized wealths, market open interest and average price, are stated and demonstrated
Optimal Strategies for Automated Traders in a Producer-Consumer Futures Market
The aim of this work is to show how automated traders can operate a futures
market. First, we established some hypothesises on the properties of the
ācorrectā price pattern which translates accurately the underlying moves in the
supply/demand balance and the nominal price, then mathematical measures
were derived allowing to estimate the efficiency of a given trading strategy. As
a starting step, we applied our approach to a simplified market setup where
only two automated traders, a producer and a consumer, can trade. They
receive a stream of forecasts on supply and demand levels and they should
react instantaneously by adjusting these forecasts, then issuing sale and buy
orders. Later, we suggested a parameterized trading strategy for the two automatons.
Finally, we obtained by simulation the optimal parameters of this
strategy in some particular cases
Optimal Strategies for Automated Traders in a Producer-Consumer Futures Market
The aim of this work is to show how automated traders can operate a futures
market. First, we established some hypothesises on the properties of the
ācorrectā price pattern which translates accurately the underlying moves in the
supply/demand balance and the nominal price, then mathematical measures
were derived allowing to estimate the efficiency of a given trading strategy. As
a starting step, we applied our approach to a simplified market setup where
only two automated traders, a producer and a consumer, can trade. They
receive a stream of forecasts on supply and demand levels and they should
react instantaneously by adjusting these forecasts, then issuing sale and buy
orders. Later, we suggested a parameterized trading strategy for the two automatons.
Finally, we obtained by simulation the optimal parameters of this
strategy in some particular cases
Automatizing Price Negotiation in Commodities Markets
This is an introductory work to trade automatization of the futures market,
so far operated by human traders. We are not focusing on maximizing
individual profits of any trader as done in many studies, but rather we try to
build a stable electronic trading system allowing to obtain a fair price, based
on supply and demand dynamics, in order to avoid speculative bubbles and
crashes. In our setup, producers and consumers release regularly their forecasts
of output and consumption respectively. Automated traders will use this
information to negotiate price of the underlying commodity. We suggested a
set of analytical criteria allowing to measure the efficiency of the automatic
trading strategy in respect to market stability