Some Preliminary Results on Competition Between Markets for Automated Traders

Jinzhong Niu, Kai Cai, Simon Parsons, Elizabeth Sklar

Real market institutions, stock and commodity exchanges for example, do not occur in isolation. Company stock is frequently listed on several stock exchanges, and futures exchanges make it possible for dealers in a particular commodity to offset their risks by trading options in that commodity. While there has been extensive research into agent-based trading in individual markets, there is little work on agents that trade in multiple market scenarios. Our work seeks to address this inbalance, providing an analysis of the behavior of trading agents that are free to move between a number of parallel markets, each of which has different properties.

Subjects: 7.1 Multi-Agent Systems; 12. Machine Learning and Discovery

Submitted: May 21, 2007

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