The Multi-Asset Simulation Transaction Mechanism and Application in Liquidation Strategy

Qi-xuan LUO, Han-dong LI

Abstract


Based on the multi-agent model, we established a dynamic simulation market with three types of traders, and each trader can trade two assets at the same time. Then, depending on this simulation platform, we compared the differences between the institutional investors using the VWAP strategy and the equivalent-order strategy. The results show that the liquidation cost of the VWAP strategy is better than the one of the equivalent-order, and the price fluctuation under the VWAP strategy is relatively less than the one under the equivalent-order strategy.

Keywords


Multi-agent model, Basic value trader, Liquidation cost, VWAP strategy


DOI
10.12783/dtcse/cmsam2017/16349

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