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I have come across an artificial, simulated, stock-market type of situation, whose rules, I find, create a rather interesting problem. I want to know if there is a mathematically optimal solution for "trading" on this simplified market, and if not, what may be a good approximation of this optimal solution.

Here are the rules we are aware of for the market:
1. There are two commodities, gold coins and oil.
2. The price of a barrel of oil cannot exceed 6.4 coins.
3. The price of a barrel of oil cannot be less than 4.8 coins.
4. The price of a barrel of oil is evaluated every 5 minutes.
5. Trades placed within these 5 minutes are guaranteed at the current price.

It is observed that the price of oil changes as a large number of purchases or sells are made, and any individual "trader" cannot make a trade large enough to influence the price of oil.

A graph of a typical "day" of trading on this market is here.
Actual numbers of the given graph are available in the first comment below (until I have 10 reputation).

The first, very simple, solution that I came up with, was as follows:
1. If current oil price is greater than previous oil price, sell 10% of oil owned.
2. If current oil price is less than previous oil price, spend 10% of gold coins to buy oil.
3. If there is no change in oil price, do nothing.
However, I feel that this solution does not make good use of the conditions of the market.

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    I guess the best one could do in that case, if we don't have the details of the transactions and price mechanism, is to model the price as a random variable and try to fix the parameters of our random variable model from the data on the webpage you linked to.2011-01-18

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One thing you may consider to be a problem with the algorithm is that will be forced towards 50% cash, 50% investments over time.

Clarification:

Say you start with 100 gold pieces, none invested, if a buy decision takes place then 10 gold will be invested. Then next time either 1 gold from investment to purse or 9 gold from purse into investment. You would need a very strange probability distribution for that to not approach 50/50 in the long run.