HP Labs Technical Reports

Less Than Human: Simple Adaptive Trading Agents for CDA Markets

Cliff, Dave; Bruten, Janet

HPL-97-155

Keyword(s): continuous double-auction; trading; agent; equilibrium price

Abstract: Gode and Sunder (1993) described continuous double- auction (CDA) markets populated by "zero-intelligence" (ZI) traders that act randomly. Their results appear to indicate that no intelligence is required to give human-like trading performance. Cliff and Bruten (1997) demonstrated serious failing of ZI traders. Here, 'ZI-plus' (ZIP) traders are introduced: simple stochastic agents that adapt over time using an elementary form of machine learning. It is shown that the performance of ZIP traders is significantly closer to the human data than is that of ZI traders. Thus, human-like trading behaviour can be achieved with intelligence that is more than zero but much less than human.

6 Pages

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