Technical Note: Parameterised-Response Zero-Intelligence (PRZI) Traders

This brief technical note introduces PRZI (Parameterised-Response Zero Intelligence), a new form of zero-intelligence trader intended for use in simulation studies auction markets. Like Gode & Sunder's classic Zero-Intelligence Constrained (ZIC) trader, generates quote-prices from random distribution over some specified domain discretely-valued allowable quote-prices. Unlike ZIC, which uses uniform to generate prices, the probability is parameterised such way that its mass function (PMF) determined by real-valued control variable s range [-1.0, +1.0] determines strategy trader. When zero, behaves identically ZIC strategy, with flat/rectangular PMF; but when close plus or minus one trader's PMF becomes asymptotically maximally skewed extreme other price-range, thereby enabling act same as Shaver (SHVR) Giveaway (GVWY), both have recently been demonstrated be surprisingly dominant more sophisticated, and supposedly profitable, trader-strategies incorporate adaptive mechanisms machine learning. Depending on value s, will behave either SHVR, GVWY, hybrid part-way between two these three previously-reported strategies. The novel smoothly-varying has giving trader-agents plausibly useful market impact responses imbalances an auction-market's limit-order-book, also allows study co-adaptive dynamics continuous strategy-spaces rather than discrete spaces traditionally studied literature.