Impact of Misalignment of Trading Agent Strategy across Multiple Markets

We examine the effect of a market pricing policy designed to attract high-valued traders in a multiple market context using JCAT software. Our experiments show that a simple change to pricing policy can create market performance effects that traditional adaptive trading agents are unable to recognize or capitalize on, but that market-policy-aware trading agents can generally obtain. This suggests as parameterized and tunable markets become more common, trading strategies will increasingly need to be conditional on each individual market’s policies.

• Type: Conference
• Year: 2009
• Where: AMMA
• Authors: Jung-woo Sohn, Sooyeon Lee, Tracy Mullen
• Keywords: AMMA 2009, Internet Technology, Market Pricing Policy, Multiple Market Context, Trading Agents