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RESEARCH PRODUCT

Investigation of Simulated Trading — A multi agent based trading system for optimization purposes

Johannes J. Schneider

subject

Statistics and ProbabilitySet (abstract data type)Mathematical optimizationHeuristic (computer science)Computer scienceMulti-agent systemVehicle routing problemFinancial marketOrder bookGraph (abstract data type)2-optCondensed Matter PhysicsTravelling salesman problem

description

Abstract Some years ago, Bachem, Hochstattler, and Malich proposed a heuristic algorithm called Simulated Trading for the optimization of vehicle routing problems. Computational agents place buy-orders and sell-orders for customers to be handled at a virtual financial market, the prices of the orders depending on the costs of inserting the customer in the tour or for his removal. According to a proposed rule set, the financial market creates a buy-and-sell graph for the various orders in the order book, intending to optimize the overall system. Here I present a thorough investigation for the application of this algorithm to the traveling salesman problem.

yearjournalcountryeditionlanguage
2010-07-01Physica A: Statistical Mechanics and its Applications
https://doi.org/10.1016/j.physa.2010.02.054