Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation

Table 4

Total rebalancing order quantity.

		0.1	0.2	0.3	0.4	0.5
	10	12,851	5,595	2,337	1,028	508
	20	26,515	10,727	4,366	1,849	926
	30	41,780	14,557	6,176	2,569	1,318
	40	—	18,395	7,400	3,187	1,692
	50	—	21,401	8,517	3,806	2,058
	60	—	—	9,717	4,583	2,420
	70	—	—	10,859	5,151	2,844
	80	—	—	12,430	5,744	3,292
	90	—	—	13,782	6,721	3,731
	100	—	—	15,524	7,705	4,471