Impact of Misalignment of Trading Agent Strategy across Multiple Markets

Jung-woo Sohn; Sooyeon Lee; Tracy Mullen

Auctions, Market Mechanisms and Their Applications. First International ICST Conference, AMMA 2009, Boston, MA, USA, May 8-9, 2009, Revised Selected Papers

Research Article

Impact of Misalignment of Trading Agent Strategy across Multiple Markets

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@INPROCEEDINGS{10.1007/978-3-642-03821-1_7,
    author={Jung-woo Sohn and Sooyeon Lee and Tracy Mullen},
    title={Impact of Misalignment of Trading Agent Strategy across Multiple Markets},
    proceedings={Auctions, Market Mechanisms and Their Applications. First International ICST Conference, AMMA 2009, Boston, MA, USA, May 8-9, 2009, Revised Selected Papers},
    proceedings_a={AMMA},
    year={2012},
    month={5},
    keywords={market design trading strategy market selection strategy multiple markets pricing policy},
    doi={10.1007/978-3-642-03821-1_7}
}

Jung-woo Sohn
Sooyeon Lee
Tracy Mullen
Year: 2012
Impact of Misalignment of Trading Agent Strategy across Multiple Markets
AMMA
Springer
DOI: 10.1007/978-3-642-03821-1_7

Jung-woo Sohn¹^,*, Sooyeon Lee¹^,*, Tracy Mullen¹^,*

1: The Pennsylvania State University

*Contact email: jwsohn@ist.psu.edu, sul131@psu.edu, tmullen@ist.psu.edu

Abstract

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.

Keywords: market design trading strategy market selection strategy multiple markets pricing policy

Published: 2012-05-16

: http://dx.doi.org/10.1007/978-3-642-03821-1_7