CDA市场环境模型进化研究  

Research on the evolution model of CDA market environment

作　　者：张重毅[1,2] 刘彦斌[1] 于繁华[2] 李继光[1] 刘大有[1] 

机构地区：[1]吉林大学计算机科学与技术学院,长春130012 [2]长春师范学院计算机科学与技术学院,长春130032

出　　处：《深圳大学学报（理工版）》2010年第4期413-419,共7页Journal of Shenzhen University(Science and Engineering)

基　　金：国家自然科学基金项目(60973088;60773099)~~

摘　　要：研究连续双边拍卖(continuous double auction,CDA)市场,分析现有工作静态环境与现实世界CDA市场动态性要求的差异,提出一种符合市场需求的动态连续双边拍卖(dynamic continuous doubleaction,DCDA)市场模型.该模型可模拟价格上涨、下跌和振荡等波动行为.将经典智能报价算法GD模型和GDX模型应用于此环境中,分析其在动态CDA市场模型中的表现.结果表明,GD模型和GDX模型在DCDA中的市场效率低于两模型在静态市场中的市场效率.Based on the research of continuous double auction（CDA）market and the analysis of the inconsistency between the static environment proposed by existing research works and the demands of dynamic practical CDA market,we presented a dynamic CDA（DCDA）market model,which was more close to the real-world market.This model could simulate the price shocks,such as rising,declining and shaking.Two sophisticated bidding strategies,the GD model and the GDX model,were employed in the evaluating process.The experimental results show that the performance of the GD model and the GDX model in DCDA is worse than their performance in the static CDA.

关 键 词：人工智能 agent报价算法 资本市场建模 动态连续双边拍卖 报价策略 价格振荡 智能交易模型 

分 类 号：TP182[自动化与计算机技术—控制理论与控制工程] TP39[自动化与计算机技术—控制科学与工程]