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

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Original languageEnglish
Title of host publicationTransactions on Computational Collective Intelligence XVII
EditorsN Nguyen
Publisher or commissioning bodySpringer Berlin Heidelberg
Pages22-45
Number of pages24
ISBN (Electronic)9783662449943
ISBN (Print)9783662449936
DOIs
DateAccepted/In press - 18 Feb 2013
DatePublished (current) - 23 Nov 2014

Publication series

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

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.

    Research areas

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

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  • Full-text PDF (accepted author manuscript)

    Rights statement: This is the author accepted manuscript (AAM). The final published version (version of record) is available online via Springer at https://link.springer.com/chapter/10.1007%2F978-3-662-44994-3_2#enumeration. Please refer to any applicable terms of use of the publisher.

    Accepted author manuscript, 1.31 MB, PDF document

    Licence: Unspecified

DOI

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