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Authors: Steve Stotter ; John Cartlidge and Dave Cliff

Affiliation: University of Bristol, United Kingdom

ISBN: 978-989-8565-38-9

Keyword(s): Software Agents, Auctions, Financial Markets, Automated Trading, Computational Finance, ExPo.

Related Ontology Subjects/Areas/Topics: Agents ; Artificial Intelligence ; Auctions and Markets ; Economic Agent Models

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 traderagents 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 assignmentadaptive (ASAD) agents equilibrate more quick ly after market shocks than markets containing only “standard” ZIP agents. However, perhaps counter-intuitively, 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. (More)

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Paper citation in several formats:
Stotter S., Cartlidge J. and Cliff D. (2013). Exploring Assignment-Adaptive (ASAD) Trading Agents in Financial Market Experiments.In Proceedings of the 5th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART, ISBN 978-989-8565-38-9, pages 77-88. DOI: 10.5220/0004248000770088

@conference{icaart13,
author={Steve Stotter and John Cartlidge and Dave Cliff},
title={Exploring Assignment-Adaptive (ASAD) Trading Agents in Financial Market Experiments},
booktitle={Proceedings of the 5th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,},
year={2013},
pages={77-88},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004248000770088},
isbn={978-989-8565-38-9},
}

TY - CONF

JO - Proceedings of the 5th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART,
TI - Exploring Assignment-Adaptive (ASAD) Trading Agents in Financial Market Experiments
SN - 978-989-8565-38-9
AU - Stotter S.
AU - Cartlidge J.
AU - Cliff D.
PY - 2013
SP - 77
EP - 88
DO - 10.5220/0004248000770088

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