Projects per year
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 language | English |
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Title of host publication | Transactions on Computational Collective Intelligence XVII |
Editors | N Nguyen |
Publisher | Springer Berlin Heidelberg |
Pages | 22-45 |
Number of pages | 24 |
ISBN (Electronic) | 9783662449943 |
ISBN (Print) | 9783662449936 |
DOIs | |
Publication status | Published - 23 Nov 2014 |
Publication series
Name | Lecture Notes in Computer Science |
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Publisher | Springer Berlin Heidelberg |
Volume | 8790 |
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.Projects
- 1 Finished
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Cloud computing for large scale complex IT systems.
Cliff, D. (Principal Investigator)
1/10/10 → 1/04/14
Project: Research
Profiles
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Professor John Cartlidge
- School of Engineering Mathematics and Technology - Professor of Financial Technology
Person: Academic
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Professor Dave Cliff
- Intelligent Systems Laboratory
- School of Engineering Mathematics and Technology - Professor of Computer Science/Academic Director for TQC
- Cabot Institute for the Environment
Person: Academic , Headship, Member