Using LCS to Exploit Order Book Data in Artificial Markets

Philippe Mathieu 1 Yann Secq 1
1 SMAC - Systèmes Multi-Agents et Comportements
LIFL - Laboratoire d'Informatique Fondamentale de Lille
Abstract : In the study of financial phenomena, multi-agent market order-driven simulators are tools that can effectively test different eco-nomic assumptions. Many studies have focused on the analysis of adap-tive learning agents carrying on prices. But the prices are a consequence of the matching orders. Reasoning about orders should help to anticipate future prices. While it is easy to populate these virtual worlds with agents analyzing "simple" prices shapes (rising or falling, moving averages, ...), it is nev-ertheless necessary to study the phenomena of rationality and influence between agents, which requires the use of adaptive agents that can learn from their environment. Several authors have obviously already used adaptive techniques but mainly by taking into account prices historical. But prices are only consequences of orders, thus reasoning about orders should provide a step ahead in the deductive process. In this article, we show how to leverage information from the order books such as the best limits, the bid-ask spread or waiting cash to adapt more effectively to market offerings. Like B. Arthur, we use learning classifier systems and show how to adapt them to a multi-agent system.
Type de document :
Article dans une revue
Springer LNCS series, 2014, Transactions on Computational Collective Intelligence, 8670 (XV), pp.69 - 88. 〈http://www.springer.com/computer/ai/book/978-3-662-44749-9〉. 〈10.1007/978-3-662-44750-5_4〉
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https://hal.inria.fr/hal-01115959
Contributeur : Cristal Equipe Smac <>
Soumis le : jeudi 12 février 2015 - 11:10:04
Dernière modification le : jeudi 11 janvier 2018 - 06:23:13

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Philippe Mathieu, Yann Secq. Using LCS to Exploit Order Book Data in Artificial Markets. Springer LNCS series, 2014, Transactions on Computational Collective Intelligence, 8670 (XV), pp.69 - 88. 〈http://www.springer.com/computer/ai/book/978-3-662-44749-9〉. 〈10.1007/978-3-662-44750-5_4〉. 〈hal-01115959〉

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