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Using LCS to Exploit Order Book Data in Artificial Markets

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Transactions on Computational Collective Intelligence XV

Part of the book series: Lecture Notes in Computer Science ((TCCI,volume 8670))

Abstract

In the study of financial phenomena, multi-agent market order-driven simulators are tools that can effectively test different economic assumptions. Many studies have focused on the analysis of adaptive learning agents carrying on prices. But the prices are a consequence of the matching orders. Reasoning about orders should help to anticipate future prices.

While it is easy to populate these virtual worlds with agents analyzing “simple” prices shapes (rising or falling, moving averages, ...), it is nevertheless necessary to study the phenomena of rationality and influence between agents, which requires the use of adaptive agents that can learn from their environment. Several authors have obviously already used adaptive techniques but mainly by taking into account prices historical. But prices are only consequences of orders, thus reasoning about orders should provide a step ahead in the deductive process.

In this article, we show how to leverage information from the order books such as the best limits, the bid-ask spread or waiting cash to adapt more effectively to market offerings. Like B. Arthur, we use learning classifier systems and show how to adapt them to a multi-agent system.

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Authors and Affiliations

  1. Laboratoire d’Informatique Fondamentale de Lille (UMR CNRS 8022), Université Lille 1, Villeneuve-d’Ascq, France

    Philippe Mathieu & Yann Secq

Authors
  1. Philippe Mathieu
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  2. Yann Secq
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Corresponding author

Correspondence to Yann Secq .

Editor information

Editors and Affiliations

  1. Institute of Informatics, Wroclaw University of Technology, Wroclaw, Poland

    Ngoc Thanh Nguyen

  2. School of Software and Electrical Engineering, Swinburne University of Technology, Hawthorn, Australia

    Ryszard Kowalczyk

  3. Departamento de Infomática y Automática, Universidad de Salamanca, Salamanca, Spain

    Juan Manuel Corchado

  4. Departamento de Inteligenca Artificial, Universidad Politécnica de Madrid, Madrid, Spain

    Javier Bajo

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Mathieu, P., Secq, Y. (2014). Using LCS to Exploit Order Book Data in Artificial Markets. In: Nguyen, N., Kowalczyk, R., Corchado, J., Bajo, J. (eds) Transactions on Computational Collective Intelligence XV. Lecture Notes in Computer Science(), vol 8670. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-44750-5_4

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  • DOI: https://doi.org/10.1007/978-3-662-44750-5_4

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-662-44749-9

  • Online ISBN: 978-3-662-44750-5

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