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
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.
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