haku: @indexterm simulation / yhteensä: 646
viite: 44 / 646
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. |
SCIMA