时间问题：探索自动交易者的紧迫性和反应速度的影响
Time Matters: Exploring the Effects of Urgency and Reaction Speed in Automated Traders
摘要：
我们考虑在模拟金融市场中的自动交易策略的时间问题，包含一个单一的交易所与公共限价订单簿和连续的双重拍卖匹配。特别是，我们探讨了两个影响：（i）反应速度-交易策略计算对市场事件的反应所需的时间;（ii）交易紧迫性-交易策略对临近截止日期的敏感性。许多关于交易代理的文献只关注优化定价策略，而忽略了时间的影响，而现实世界的市场继续经历着零延迟的竞争，因为自动交易系统竞争快速获取信息并在市场上领先于其他系统。我们证明，建模反应速度可以显着改变以前发表的结果，与简单的策略，如SHVR优于更复杂的自适应算法，如AA。我们还表明，为ZIP交易者（ZIP-Pace或ZIPP）添加速度参数可以产生紧迫感，从而显着提高盈利能力。
英文摘要：
We consider issues of time in automated trading strategies in simulated financial markets containing a single exchange with public limit order book and continuous double auction matching. In particular, we explore two effects: (i) reaction speed - the time taken for trading strategies to calculate a response to market events; and (ii) trading urgency - the sensitivity of trading strategies to approaching deadlines. Much of the literature on trading agents focuses on optimising pricing strategies only and ignores the effects of time, while real-world markets continue to experience a race to zero latency, as automated trading systems compete to quickly access information and act in the market ahead of others. We demonstrate that modelling reaction speed can significantly alter previously published results, with simple strategies such as SHVR outperforming more complex adaptive algorithms such as AA. We also show that adding a pace parameter to ZIP traders (ZIP-Pace, or ZIPP) can create a sense of urgency that significantly improves profitability.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
