Transaction Cost Transform of Trading Volume Series in a Closed Auction Type Stock Market Model
نویسنده
چکیده
Research work on price making mechanisms in computational intelligence still remains somewhat under-represented, in part because of its short-time scale implications, and in part due to the complexity in modeling bid-offer array books and correlating them to individual market players. Here we report a study on the transaction cost – trading volume correlations in an artificial stock market with closed auction pricing. A signature of particular trading strategies has been found in the characteristics of the exponential decay of total trading volume as a function of the transaction cost.
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تاریخ انتشار 2006