AgEx: A Financial Market Simulation AgEx: A Financial Market - PowerPoint PPT Presentation

Universidade de São Paulo Escola AgEx: A Financial Market Simulation AgEx: A Financial Market Simulation AgEx: A Financial Market Simulation AgEx: A Financial Market Simulation Politécnica Tool for Software Agents Tool for Software Agents Tool for Software Agents Tool for Software Agents Intelligent Techniques Paulo André Castro Laboratory - LTI Jaime Sichman Support: CNPq ITA – Technological Institute of Aeronautics, Brazil USP - University of São Paulo, Brazil Date: May/2009 Conference: ICEIS 2009, Milan-Italy

Outline Outline Outline Outline • Introduction Introduction Introduction Introduction • Motivation • Related Work Intelligent Techniques • AgEx Architecture Laboratory • Main Components Title: • Communication Language and Ontology Communication Language and Ontology AgEx AgEx AgEx AgEx: : : : A Financial A Financial A Financial A Financial A Financial A Financial A Financial A Financial • Simulation Mechanism Market Market Market Market Simulation Simulation Simulation Simulation Tool for Tool for Tool for Tool for • Trading Strategies Software Software Software Software Agents Agents Agents Agents • Using AgEx Authors: Paulo André • Simulated Experiments Setup Castro, Jaime • Trader Performance by Year Sichman • Trader Performance by Asset • Broker’s Fee Influence • Conclusions

Motivation Motivation Motivation Motivation • Many researchers have addressed the problem of creating mechanisms to automate the administration of assets. It is possible to observe the use of many reasoning techniques, for instance: neural networks, reinforcement learning, multiagent systems , BDI Intelligent architectures , SWARM approaches and many others (Castro and Techniques Sichman, 2009) Laboratory • One big obstacle to research in automated portfolio management is Title: the need for a test bed for the designed agents and systems. This AgEx: AgEx AgEx AgEx : : : test environment should be able to simulate financial markets as test environment should be able to simulate financial markets as A Financial A Financial A Financial A Financial A Financial A Financial A Financial A Financial Market Market Market Market close to reality as possible. Simulation Simulation Simulation Simulation Tool for Tool for Tool for Tool for • This kind of tool is fundamental to research in automated portfolio Software Software Software Software Agents Agents Agents Agents management, but it is not really part of it. It is an infrastructure that Authors: Paulo could be reused by a lot of researchers. André Castro, • Our paper presents an open source financial market simulation tool Jaime Sichman developed by us with special features that makes it different from others tools currently available.

Related Work Related Work Related Work Related Work • There are some simulations tools that may be used to simulate stock markets like: eAuctionHouse (Wurman et al, 1998), eMediator (Sandholm, 2000), Intelligent PXS (Kearns and Ortiz, 2003), SFI (LeBaron, Techniques Laboratory 2002), JASA (Phelps, 2007) Title: • These systems are compared using desirable • These systems are compared using desirable AgEx: AgEx AgEx AgEx : : : A Financial A Financial A Financial A Financial A Financial A Financial A Financial A Financial features by a financial market simulation tool Market Market Market Market Simulation Simulation Simulation Simulation Tool for Tool for Tool for Tool for Software Software Software Software Agents Agents Agents Agents Authors: Paulo André Castro, Jaime Sichman

Outline Outline Outline Outline • Introduction • Motivation • Related Work Intelligent Techniques • AgEx Architecture AgEx Architecture AgEx Architecture AgEx Architecture Laboratory • Main Components Title: • Communication Language and Ontology Communication Language and Ontology AgEx AgEx AgEx AgEx: : : : A Financial A Financial A Financial A Financial A Financial A Financial A Financial A Financial • Simulation Mechanism Market Market Market Market Simulation Simulation Simulation Simulation Tool for Tool for Tool for Tool for • Trading Strategies Software Software Software Software Agents Agents Agents Agents • Using AgEx Authors: Paulo André • Simulated Experiments Setup Castro, Jaime • Trader Performance by Year Sichman • Trader Performance by Asset • Broker’s Fee Influence • Conclusions

AgEx Architecture AgEx Architecture AgEx Architecture AgEx Architecture Intelligent Techniques Laboratory Title: AgEx AgEx AgEx: AgEx : : : A Financial A Financial A Financial A Financial A Financial A Financial A Financial A Financial Market Market Market Market Simulation Simulation Simulation Simulation Tool for Tool for Tool for Tool for Software Software Software Software Agents Agents Agents Agents Authors: Paulo André Castro, Jaime Sichman

Main Components of AgEx Architecture Main Components of AgEx Architecture Main Components of AgEx Architecture Main Components of AgEx Architecture • AgEx Data AgEx Data : This data repository keeps daily AgEx Data AgEx Data (and/or intraday) quotes of selected stocks Intelligent Techniques • AgEx Broker AgEx Broker AgEx Broker : This component process all trading AgEx Broker Laboratory orders according to current prices Title: AgEx: AgEx AgEx AgEx : : : A Financial A Financial A Financial A Financial A Financial A Financial A Financial A Financial Market Market Market Market Simulation Simulation Simulation Simulation • AgEx Manager AgEx Manager : This agent receives, validates and AgEx Manager AgEx Manager Tool for Tool for Tool for Tool for Software Software Software Software responds orders and request stock information sent Agents Agents Agents Agents Authors: by any trader agent. Paulo André Castro, Jaime Sichman • Trader Agents Trader Agents Trader Agents Trader Agents : These agents get stock information and deliberate what to do (buy, sell or hold) according to a specific trading strategy trading strategy trading strategy trading strategy

AgEx Communication and Ontology AgEx Communication and Ontology AgEx Communication and Ontology AgEx Communication and Ontology • We decided to use JADE as communication infrastructure within AgEx society (manager and traders), because it is adherent to agent communication language (ACL) Intelligent Techniques • In order to interchange concepts and agent actions through Laboratory messages, we developed a specialized ontology specialized ontology to AgEx based on a specialized ontology specialized ontology content reference model defined by FIPA (Foundation for Intelligent Title: Physical Agents) Physical Agents) AgEx AgEx AgEx AgEx: : : : A Financial A Financial A Financial A Financial A Financial A Financial A Financial A Financial Market Market Market Market Simulation Simulation Simulation Simulation Tool for Tool for Tool for Tool for • This ontology includes the main concepts, predicates and possible Software Software Software Software actions needed by trader agents. The possible concepts includes Agents Agents Agents Agents Authors: Order, Order Result, Query, Query Result, Asset Concept, Error and Paulo André Terminate … Castro, Jaime Sichman • These concepts, predicates and actions are used to create content for any message exchanged within an AgEx society.

Simulation Mechanism Simulation Mechanism Simulation Mechanism Simulation Mechanism • AgEx has two simulation modes • Historical price mode (default) • Live price mode • In Historical price mode, simulation uses asset information Intelligent Techniques from real stock markets. Laboratory • This information is composed by assets prices (open, high, down and Title: close prices) and volume (shares traded by assets). AgEx AgEx AgEx AgEx: : : : • • This kind of simulation is particularly useful when the research is focused This kind of simulation is particularly useful when the research is focused A Financial A Financial A Financial A Financial A Financial A Financial A Financial A Financial Market Market Market Market on the development of trading strategies that do not account the influence Simulation Simulation Simulation Simulation of the trader in the market Tool for Tool for Tool for Tool for Software Software Software Software • In fact, this effect may be despised since the amount of assets traded by Agents Agents Agents Agents the agent is much smaller than the volume traded in the market Authors: Paulo • However, researchers interested in analyzing the effect of some André Castro, trader strategy in the market may use the live price mode. In this Jaime Sichman mode, the prices and volume are defined exclusively by the orders submitted from the trader agents