连续竞价市场的交易策略研究综述

由于连续竞价交易机制的广泛应用和交易过程的随机性,其交易策略的研究一直是人们关注的热点和难点问题,经历了从简单到复杂、从脱离现实到逐渐贴近现实的过程。从博弈论和经济学的视角,把连续竞价市场交易策略的研究分为博弈分析学派、实验经济学派和计算经济学派3种理论,系统阐述了每个学派的研究特点和主要成果,并指出了今后的研究方向。

Review on Trading Strategy of Continuous Double Auction

For the extensive application and the stochastic transaction process of the continuous double auction(CDA) market,its trading strategy is the hot and the difficult problem that people concentrate all the time.The research of CDA trading strategy goes through a long progress,from simplicity to complexity,from far away from the real world to close to it.From the perspectives of game theory and economics,we divide the research into three schools.They are the school of game theory analysis,the school of experimental economics,and the school of agent-based computational economics.Research characters and main results of each school are studied.Finally,future opportunities are given.