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| Tekijä: | Gerber, C. Teich, J. Wallenius, H. Wallenius, J. |
| Otsikko: | A simulation and test of OptiMark's electronic matching algorithm and its simple variations for institutional block trading |
| Lehti: | Decision Support Systems
2004 : JAN, VOL. 36:3, p. 235-245 |
| Asiasana: | Stock markets Trading Information technology Simulation |
| Kieli: | eng |
| Tiivistelmä: | OptiMark, an automated crossing system that matches institutional buyers and sellers of company stock, is simulated via a multi-agent system. The results are contrasted with two algorithm variations based on a cruder rating (hereafter as: c-r.) system. Performance measures include the volume of stocks traded, the extent of price discrimination, trader utility, efficiency of matches, and processing time. This paper's results indicate that the c-r. schemes perform as well as the original version for moderately sized markets. Yet, a test with human subjects implies that the crudest preference elicitation scheme appears simpler to use than the original scheme. |
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