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

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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
Number of pages24
ISBN (Electronic)9783662449943
ISBN (Print)9783662449936
Publication statusPublished - 23 Nov 2014

Publication series

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


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


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