Behavioural Investigations of Financial Trading Agents Using Exchange Portal (ExPo)

Some major financial markets are currently reporting that 50% or more of all transactions are now executed by automated trading systems (ATS). To understand the impact of ATS proliferation on the global financial markets, academic studies often use standard reference strategies, such as “AA” and “ZIP”, to model the behaviour of real trading systems. Disturbingly, we show that the reference algorithms presented in the literature are ambiguous, thus reducing the validity of strict comparative studies. As a remedy, we suggest disambiguated standard implementations of AA and ZIP. Using Exchange Portal (ExPo), an open-source financial exchange simulation platform designed for realtime behavioural economic experiments involving human traders and/or trader-agents, we study the e↵ects of disambiguating AA and ZIP, before introducing a novel method of assignment-adaptation (ASAD). Experiments show that introducing ASAD agents into a market with shocks can produce counter-intuitive market dynamics.