Artificial economic life: a simple model of a stockmarket
Proceedings of the NATO advanced research workshop and EGS topical workshop on Chaotic advection, tracer dynamics and turbulent dispersion
Commodity trading using an agent-based iterated double auction
Proceedings of the third annual conference on Autonomous Agents
Agent-based computational modeling of the stock price-volume relation
Information Sciences: an International Journal - Special issue: Computational intelligence in economics and finance
The Penn-Lehman Automated Trading Project
IEEE Intelligent Systems
Adoption of electronic trading at the International Securities Exchange
Decision Support Systems - Special issue: Economics and information systems
The supply chain trading agent competition
Electronic Commerce Research and Applications
ALAMAS'05/ALAMAS'06/ALAMAS'07 Proceedings of the 5th , 6th and 7th European conference on Adaptive and learning agents and multi-agent systems: adaptation and multi-agent learning
Expert Systems with Applications: An International Journal
Hi-index | 12.05 |
Automatizing commodities' price negotiation was hard to achieve in practice, mainly because of logistical complications. The purpose of our work is to show that it is possible to automatize thoroughly commodities' trading in the futures market by replacing human traders with artificial agents. As a starting step, we designed a market institution, called producer-consumer, where only an automated seller and an automated buyer can trade on behalf of the producer and consumer, respectively. The producer and consumer periodically feed their trading agents with supply and demand (S&D) forecasts. We suggested a parameterizable trading strategy, called bands and frequencies, for the agents. To measure the overall efficiency of this trading system in terms of price stability and liquidity, we made some hypotheses on the benchmark price curve and its linkages to S&D curves and other relevant market variables. Then we proposed analytical tools to measure strategy performance. Finally, we conducted some computer simulations to prove the workability of this approach.