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Journal of Applied Sciences

Year: 2013 | Volume: 13 | Issue: 6 | Page No.: 862-868
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Authors

First A. Yantao Bai

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Research Article

Research on Continuous Double Auction Strategy in the Weak Efficient Markets

First A. Yantao Bai
In view of continuous auction market dynamics and great uncertainty, the continuous bidding strategy design has long held prominence. By employing simulation, this paper posits recommendations for the continuous auction market to discover an effective bidding strategy. The first simulation of "zero" strategy in continuous auctions verified the characteristics of the "random walk”. Here, we demonstrate that this simulation can replicate an environment of a weak continuous auction market. Next, we proposed the Eye-on-best (EOB) auction strategy for the best group price. Finally, the simulation data verified that a continuous bidding strategy for the best group price could achieve a greater return than the "zero" continuous bidding strategy. This strategy assists decision-making in a random walk continuous auction market environment.
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