TOO FAST TOO FURIOUS - Faster Financial-market Trading Agents Can Give Less Efficient Markets

John Cartlidge, Charlotte Szostek, Marco De Luca, Dave Cliff

2012

Abstract

For many of the world's major financial markets, the proportion of market activity that is due to the actions of "automated trading" software agents is rising: in Europe and the USA, major exchanges are reporting that 30%-75% of all transactions currently involve automated traders. This is a major application area for artificial intelligence and autonomous agents, yet there have been very few controlled laboratory experiments studying the interactions between human and software-agent traders. In this paper we report on results from new human-agent experiments using the OpEx experimental economics system first introduced at ICAART-2011. Experiments explore the extent to which the performance of the traders, and of the market overall, is dependent on the speed at which the agents operate. Surprisingly, we found that slowing down the agents increased the market’s overall ability to settle to a competitive equilibrium, and that slow-agent markets were more efficient.

Paper Citation

in Harvard Style

Cartlidge J., Szostek C., De Luca M. and Cliff D. (2012). TOO FAST TOO FURIOUS - Faster Financial-market Trading Agents Can Give Less Efficient Markets . In Proceedings of the 4th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART, ISBN 978-989-8425-96-6, pages 126-135. DOI: 10.5220/0003720301260135

in Bibtex Style

@conference{icaart12,
author={John Cartlidge and Charlotte Szostek and Marco De Luca and Dave Cliff},
title={TOO FAST TOO FURIOUS - Faster Financial-market Trading Agents Can Give Less Efficient Markets},
booktitle={Proceedings of the 4th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,},
year={2012},
pages={126-135},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003720301260135},
isbn={978-989-8425-96-6},
}

in EndNote Style

TY - CONF
JO - Proceedings of the 4th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,
TI - TOO FAST TOO FURIOUS - Faster Financial-market Trading Agents Can Give Less Efficient Markets
SN - 978-989-8425-96-6
AU - Cartlidge J.
AU - Szostek C.
AU - De Luca M.
AU - Cliff D.
PY - 2012
SP - 126
EP - 135
DO - 10.5220/0003720301260135