Imperfect Oracles: The Effect of Strategic Information on Stock Markets

Miklos Borsi

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Paper

Imperfect Oracles: The Effect of Strategic Information on Stock Markets

Topics: Economic Agent Models; Intelligent Auctions and Markets; Multi-Agent Systems; Simulation

In Proceedings of the 13th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART, 197-204, 2021

Author: Miklos Borsi

Affiliation: Department of Computer Science, University of Bristol, Bristol, U.K.

Keyword(s): Economic Agent Models, Multi-Agent Systems, Stock Markets.

Abstract: Modern financial market dynamics warrant detailed analysis due to their significant impact on the world. This, however, often proves intractable; massive numbers of agents, strategies and their change over time in reaction to each other leads to difficulties in both theoretical and simulational approaches. Notable work has been done on strategy dominance in stock markets with respect to the ratios of agents with certain strategies. Perfect knowledge of the strategies employed could then put an individual agent at a consistent trading advantage. This research reports the effects of imperfect oracles on the system - dispensing noisy information about strategies - information which would normally be hidden from market participants. The effect and achievable profits of a singular trader with access to an oracle were tested exhaustively with previously unexplored factors such as changing order schedules. Additionally, the effect of noise on strategic information was traced through its eff ect on trader efficiency. (More)

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Paper citation in several formats:

Borsi, M. (2021). Imperfect Oracles: The Effect of Strategic Information on Stock Markets. In Proceedings of the 13th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART; ISBN 978-989-758-484-8; ISSN 2184-433X, SciTePress, pages 197-204. DOI: 10.5220/0010198201970204

@conference{icaart21,
author={Miklos Borsi},
title={Imperfect Oracles: The Effect of Strategic Information on Stock Markets},
booktitle={Proceedings of the 13th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART},
year={2021},
pages={197-204},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0010198201970204},
isbn={978-989-758-484-8},
issn={2184-433X},
}

TY - CONF

JO - Proceedings of the 13th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART
TI - Imperfect Oracles: The Effect of Strategic Information on Stock Markets
SN - 978-989-758-484-8
IS - 2184-433X
AU - Borsi, M.
PY - 2021
SP - 197
EP - 204
DO - 10.5220/0010198201970204
PB - SciTePress