@inbook{2de86a6af68e4e7b95e34294eabf42ec,
title = "Time Matters: Exploring the Effects of Urgency and Reaction Speed in Automated Traders",
abstract = "We consider issues of time in automated trading strategies in simulated financial markets containing a single exchange with public limit order book and continuous double auction matching. In particular, we explore two effects: (i) reaction speed - the time taken for trading strategies to calculate a response to market events; and (ii) trading urgency - the sensitivity of trading strategies to approaching deadlines. Much of the literature on trading agents focuses on optimising pricing strategies only and ignores the effects of time, while real-world markets continue to experience a race to zero latency, as automated trading systems compete to quickly access information and act in the market ahead of others. We demonstrate that modelling reaction speed can significantly alter previously published results, with simple strategies such as SHVR outperforming more complex adaptive algorithms such as AA. We also show that adding a pace parameter to ZIP traders (ZIP-Pace, or ZIPP) can create a sense of urgency that significantly improves profitability.",
keywords = "Agent Based Modelling, Auctions, Automated Trading, Financial Markets, Simulation, Trading Agents",
author = "Henry Hanifan and Ben Watson and Cartlidge, {John P} and Cliff, {Dave T}",
year = "2021",
month = mar,
day = "14",
doi = "10.1007/978-3-030-71158-0_7",
language = "English",
isbn = "978-3-030-71157-3",
volume = "12613",
series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",
publisher = "Springer",
pages = "149--170",
editor = "Rocha, {Ana Paula} and Luc Steels and {van den Herik}, Jaap",
booktitle = "Agents and Artificial Intelligence - 12th International Conference, ICAART 2020, Revised Selected Papers",
}