Towards adaptive ex ante circuit breakers in financial markets using human-algorithmic market studies

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

Abstract

Position paper introducing an AI research methodology for investigating dynamics and stability of financial markets. Controlled experiments using an experimental financial marketplace containing humans and adaptive trading agents are performed; with brain activity of human participants captured using an EEG headset. Machine learning is applied to brain and trading data to develop an adaptive multi-agent model of markets that can be optimised for stability using a co-evolutionary GA framework. Specifically, financial market circuit breakers—mechanisms for limiting or halting trading on an exchange—are addressed; a pertinent real-world problem of trans-national importance. Ex post circuit breakers that halt a market after a sudden price swing will be analysed and optimised. Further, ex ante circuit breakers, which are triggered before problems emerge, will be investigated and explored. The development of reliable "anti-crash" trading technology would have globally significant economic, social, and political impact.
Original languageEnglish
Title of host publicationICAI'16
Subtitle of host publicationProceedings of 18th International Conference on Artificial Intelligence
EditorsHamid Arabnia, David de la Fuente, Roger Dziegiel, Elena Kozerenko, Peter LaMonica, Raymond Liuzzi, Jose Olivas, Todd Waskiewicz
Place of PublicationUSA
PublisherCSREA Press
Pages77-80
Number of pages4
ISBN (Electronic)1601324383
Publication statusPublished - 26 Jul 2016
EventInternational Conference on Artificial Intelligence - Monte Carlo Resort, Las Vegas, United States
Duration: 25 Jul 201628 Jul 2016
Conference number: 18
http://worldcomp.org/events/2016/conferences/icai2016

Conference

ConferenceInternational Conference on Artificial Intelligence
Abbreviated titleICAI-16
CountryUnited States
CityLas Vegas
Period25/07/1628/07/16
Internet address

Keywords

  • Agent-Based Simulation
  • Brain Computer Interaction
  • Coevolution
  • financial markets
  • Simulation and Modeling

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