Efficient Monitoring of Financial Orders with Agent-Based Technologies

The execution of orders on stock exchanges is managed by a set of formalized rules based on price and time priority. Nevertheless, orders issued by investors do not show-up directly in the market system : they transit through the brokerage intermediation where they can be arranged in different sequences. We show that the latter operation has a critical impact on investors. In this paper, we propose a decision support system that solves the underlying optimization problem for a given social welfare. We show that the solution cannot be obtained without an agent-based simulation platform that individualizes the consequences of the broker decision in terms of order sequencing at the agent (client) level. In this framework, we study the impact of several social welfares functions and show how the broker can grant his clients with ”just and equitable principles of trade”.