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

<table class="table-group" id="tab7"><tr><td><table class="table"><tr><td class="thead-hr" colspan="6"><hr/></td></tr><tr class="thead"><td class="align_left" rowspan="2"> </td><td class="align_center" colspan="5"><span style="width: 20.8546ptpx;"><svg height="11.9087pt" id="M176" style="vertical-align:-3.2728pt" version="1.1" viewbox="-0.0498162 -8.6359 20.8546 11.9087" width="20.8546pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M697 650H468L461 623L492 619C539 613 547 605 518 546C481 471 367 264 278 116H276C239 278 197 500 186 567C180 604 185 613 226 619L252 623L260 650H24L17 623C78 617 92 613 108 533L216 -11H247C365 200 515 462 560 529C616 612 624 615 689 623L697 650Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,7.332,3.132)"><path d="M524 0V26C466 32 460 36 460 104V297C460 393 411 449 331 449C302 449 276 437 248 419C223 402 201 387 181 372V451C137 432 90 420 42 411V388C96 378 102 374 102 310V104C102 38 97 33 29 26V0H246V26C187 32 181 36 181 104V339C211 365 250 390 290 390C357 390 381 345 381 276V109C381 40 374 32 315 26V0H524Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,12.273,3.132)"><path d="M257 449C165 449 37 374 37 209C37 98 119 -12 256 -12C355 -12 473 65 473 226C473 349 381 449 257 449ZM244 416C333 416 380 320 380 204C380 67 329 21 267 21C184 21 130 115 130 241C130 354 184 416 244 416Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,16.804,3.132)"><path d="M181 342V451C133 431 89 419 40 411V388C98 381 102 377 102 311V104C102 38 95 32 33 26V0H263V26C186 32 181 38 181 104V287C203 343 235 372 261 372C277 372 289 366 304 352C310 346 318 345 330 350C349 359 362 379 362 399C362 422 338 449 304 449C256 449 213 393 183 342H181Z"></path></g></svg></span></td></tr><tr class="thead"><td class="align_center">0.1</td><td class="align_center">0.2</td><td class="align_center">0.3</td><td class="align_center">0.4</td><td class="align_center">0.5</td></tr><tr><td class="thead-hr" colspan="6"><hr/></td></tr><tr><td class="align_left">Price change</td><td class="align_center">5</td><td class="align_center">10</td><td class="align_center">15</td><td class="align_center">20</td><td class="align_center">25</td></tr><tr class="table-tr"><td colspan="6"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Magnitude of change from previous market price when rebalancing order quantity is equal to order quantity threshold.</div>

Complexity

tab7

Table 7

Table 7: Trading Strategies of a Leveraged ETF in a Continuous Double Auction Market Using an Agent-Based Simulation 