On the Behavior of Competing Markets Populated by Automated Traders

Abstract. Real market institutions, stock and commodity exchanges for example, do not occur in isolation. Company stock is frequently listed on several stock exchanges, allowing traders to potentially trade such stock in different markets. While there has been extensive research into agent-based trading in individual markets, there is little work on agents that trade in such multiple market scenarios. Our work seeks to address this imbalance. Here we provide an initial analysis of the behavior of trading agents that are free to move between a number of parallel markets, where markets are able to charge traders in a variety of ways. We show the movement of traders between markets, sketch some adaptive strategies that markets may use to adjust charges, evaluate the effectiveness of these strategies, and give some results which show the effect of trader movement on properties of the markets. Key words: Continuous double auction, multiple markets.

• Type: Conference
• Year: 2007
• Where: ATAL
• Authors: Jinzhong Niu, Kai Cai, Simon Parsons, Elizabeth Sklar
• Keywords: ATAL 2007, Markets, Multiple Markets, Stock