Characterizing effective trading strategies. Insights from a computerized double auction tournament

Published

Journal Article

This paper presents a comparative analysis of 30 computer trading programs that participated in a double auction tournament held at the Santa Fe Institute in 1990 and 1991. Our objective is to characterize the form of effective trading strategies in double auction markets. We find that a simple rule-of-thumb is a highly effective and robust performer over a wide range of trading environments, significantly outperforming more complex algorithms that use statistically-based predictions of future transaction prices, explicit optimizing principles, and sophisticated 'learning algorithms'. © 1994.

Full Text

Duke Authors

Cited Authors

  • Rust, J; Miller, JH; Palmer, R

Published Date

  • January 1, 1994

Published In

Volume / Issue

  • 18 / 1

Start / End Page

  • 61 - 96

International Standard Serial Number (ISSN)

  • 0165-1889

Digital Object Identifier (DOI)

  • 10.1016/0165-1889(94)90069-8

Citation Source

  • Scopus