Behavioural investigations of financial trading agents using Exchange Portal (ExPo)

Research output: Chapter in Book/Report/Conference proceedingConference Contribution (Conference Proceeding)

9 Citations (Scopus)
332 Downloads (Pure)

Abstract

Some major financial markets are currently reporting that 50% or more of all transactions are now executed by automated trading systems (ATS). To understand the impact of ATS proliferation on the global financial markets, academic studies often use standard reference strategies, such as AA and ZIP, to model the behaviour of real trading systems. Disturbingly, we show that the reference algorithms presented in the literature are ambiguous, thus reducing the validity of strict comparative studies. As a remedy, we suggest disambiguated standard implementations of AA and ZIP. Using Exchange Portal (ExPo), an open-source financial exchange simulation platform designed for real-time behavioural economic experiments involving human traders and/or trader-agents, we study the effects of disambiguating AA and ZIP, before introducing a novel method of assignment-adaptation (ASAD). Experiments show that introducing ASAD agents into a market with shocks can produce counter-intuitive market dynamics.
Original languageEnglish
Title of host publicationTransactions on Computational Collective Intelligence XVII
EditorsN Nguyen
PublisherSpringer Berlin Heidelberg
Pages22-45
Number of pages24
ISBN (Electronic)9783662449943
ISBN (Print)9783662449936
DOIs
Publication statusPublished - 23 Nov 2014

Publication series

NameLecture Notes in Computer Science
PublisherSpringer Berlin Heidelberg
Volume8790
ISSN (Print)0302-9743

Keywords

  • software agents
  • auctions
  • financial markets
  • automated trading
  • computational finance
  • ExPo

Fingerprint Dive into the research topics of 'Behavioural investigations of financial trading agents using Exchange Portal (ExPo)'. Together they form a unique fingerprint.

Cite this