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.