Exhaustive Testing of Trader-agents in Realistically Dynamic Continuous Double Auction Markets: AA Does Not Dominate

Dave Cliff

2019

Abstract

We analyse results from over 3.4million detailed market-trading simulation sessions which collectively confirm an unexpected result: in markets with dynamically varying supply and demand, the best-performing automated adaptive auction-market trading-agent currently known in the AI/Agents literature, i.e. Vytelingum’s Adaptive-Aggressive (AA) strategy, can be routinely out-performed by simpler trading strategies. AA is the most recent in a series of AI trading-agent strategies proposed by various researchers over the past twenty years: research papers contributing major steps in this evolution of strategies have been published at IJCAI, in the Artificial Intelligence journal, and at AAMAS. The innovative step taken here is to brute-force exhaustively evaluate AA in market environments that are in various ways more realistic, closer to real-world financial markets, than the simple constrained abstract experimental evaluations routinely used in the prior academic AI/Agents research literature. We conclude that AA can indeed appear dominant when tested only against other AI-based trading agents in the highly simplified market scenarios that have become the methodological norm in the trading-agents academic research literature, but much of that success seems to be because AA was designed with exactly those simplified experimental markets in mind. As soon as we put AA in scenarios closer to real-world markets, modify it to fit those markets accordingly, and exhaustively test it against simpler trading agents, AA’s dominance simply disappears.

Paper Citation

in Harvard Style

Cliff D. (2019). Exhaustive Testing of Trader-agents in Realistically Dynamic Continuous Double Auction Markets: AA Does Not Dominate.In Proceedings of the 11th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART, ISBN 978-989-758-350-6, pages 224-236. DOI: 10.5220/0007382802240236

in Bibtex Style

@conference{icaart19,
author={Dave Cliff},
title={Exhaustive Testing of Trader-agents in Realistically Dynamic Continuous Double Auction Markets: AA Does Not Dominate},
booktitle={Proceedings of the 11th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,},
year={2019},
pages={224-236},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0007382802240236},
isbn={978-989-758-350-6},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 11th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,
TI - Exhaustive Testing of Trader-agents in Realistically Dynamic Continuous Double Auction Markets: AA Does Not Dominate
SN - 978-989-758-350-6
AU - Cliff D.
PY - 2019
SP - 224
EP - 236
DO - 10.5220/0007382802240236