Business Intelligence

Optimal Strategies For Automated Traders In A Producer-Consumer Futures Market

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Executive Summary

The aim of this paper is to show how automated traders can operate a futures market. First, the authors established some hypothesises on the properties of the 'Correct' price pattern which translates accurately the underlying moves in the supply/demand balance and the nominal price, and then mathematical measures were derived allowing estimating the efficiency of a given trading strategy. As a starting step, they applied the approach to a simplified market setup where only two automated traders, a producer and a consumer, can trade. They receive a stream of forecasts on supply and demand levels and they should react instantaneously by adjusting these forecasts, then issuing sale and buy orders.

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