ZI-Trading Model Updated
02/11/08 07:43 Filed in: ACE
Models
A series of minor updates to the
Information section of the model (with thanks to Prof. Leigh
Tesfatsion for making the suggestions). Basically, the information
section now more clearly explains how the model works. The changes
have also been reflected in the lab report pdf and the homework pdf
files. The lab report and homework pdf's have also been changed to
make them course independent.
ZI-Trading Model Updated
01/10/07 10:40 Filed in: ACE
Models
The ZI-trding model has been changed
to reflect the market mechanism used by Gode & Sunder (1993).
The original version of the model posted in the summer of 2006
worked by randomly matching a buyer and seller each tick of the
clock. The buyer and seller randomly formed their respective bid
and ask with a positive profit constraint (ZI-C). If the bid and
asked cross, the transaction price was randomly set between the bid
and ask. Now the model uses the simple order book described on
pages 121-122 of Gode and Sunder (1993).
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