Exploring Assignment-Adaptive (ASAD) Trading Agents in Financial Market Experiments

Steve Stotter, John Cartlidge, Dave Cliff

2013

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 quickly 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.

Paper Citation

in Harvard Style

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

in Bibtex Style

@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},
}

in EndNote Style

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