Exploring assignment-adaptive (ASAD) trading agents in financial market experiments

Steve Stotter, John Cartlidge, Dave Cliff

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

15 Citations (Scopus)
426 Downloads (Pure)

Abstract

Automated trading systems in the global financial markets are increasingly being deployed to do jobs previously done by skilled human traders: very often a human trader in the markets simply cannot tell whether the counter-party to a trade is another human, or a machine. Clearly, automated trading systems can easily be considered as “intelligent” software agents. In this paper we report on experiments with software trader agents running the well-known “AA” and “ZIP” strategies, often used as reference benchmarks in previously published studies; here we suggest disambiguated standard implementations of these algorithms. Then, 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 explore the impact of introducing a new method for assignment adaptation in ZIP. Results show that markets containing only assignment adaptive (ASAD) agents equilibrate more quickly after market shocks than markets containing only “standard” ZIP agents. However, perhaps counterintuitively, in mixed heterogeneous populations of ASAD agents and ZIP agents, ZIP agents outperform ASAD agents. Evidence suggests that the behaviour of ASAD agents act as a new signal in the market that ZIP agents then use to beneficially alter their own behaviour, to the detriment of the ASAD agents themselves.
Original languageEnglish
Title of host publicationICAART-2013
Subtitle of host publicationProceedings of the Fifth International Conference on Agents and Artificial Intelligence, Vol. 1 (Agents)
EditorsJoaquim Filipe, Ana L. N. Fred
Place of PublicationBarcelona, Spain
PublisherSciTePress
Pages77-88
Number of pages12
ISBN (Electronic)9789898565389
DOIs
Publication statusPublished - Feb 2013
EventICAART-2013: 5th International Conference on Agents and Artificial Intelligence - Barcelona, Spain
Duration: 15 Feb 201318 Feb 2013

Publication series

NameCommunications in Computer and Information Science

Conference

ConferenceICAART-2013: 5th International Conference on Agents and Artificial Intelligence
CountrySpain
CityBarcelona
Period15/02/1318/02/13

Keywords

  • software agents
  • auctions
  • financial markets
  • automated trading
  • computational finance
  • ExPo
  • exchange portal
  • behavioural economics
  • high frequency trading

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    Stotter, S., Cartlidge, J., & Cliff, D. (2013). Exploring assignment-adaptive (ASAD) trading agents in financial market experiments. In J. Filipe, & A. L. N. Fred (Eds.), ICAART-2013: Proceedings of the Fifth International Conference on Agents and Artificial Intelligence, Vol. 1 (Agents) (pp. 77-88). (Communications in Computer and Information Science). SciTePress. https://doi.org/10.5220/0004248000770088