AgEx: A Financial Market Simulation Tool for Software Agents

  • Paulo André L. De Castro
  • Jaime S. Sichman
Part of the Lecture Notes in Business Information Processing book series (LNBIP, volume 24)

Abstract

Many researchers in the software agent field use the financial domain as a test bed to develop adaptation, cooperation and learning skills of software agents. However, there are no open source financial market simulation tools available, that are able to provide a suitable environment for agents with real information about assets and order execution service. In order to address such demand, this paper proposes an open source financial market simulation tool, called AgEx. This tool allows traders launched from distinct computers to act in the same market. The communication among agents is performed through FIPA ACL and uses a market ontology created specifically to be used for trader agents. We implemented several traders using AgEx and performed many simulations using data from real markets. The achieved results allowed to test and assess comparatively trader’s performance against each other in terms of risk and return. We verified that the effort to implement and test trader agents was significantly diminished by the use of AgEx. Furthermore, such results indicated new directions in trader strategy design.

Keywords

Autonomous agents Software agents Autonomous asset management 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Paulo André L. De Castro
    • 1
    • 2
  • Jaime S. Sichman
    • 2
  1. 1.Technological Institute of Aeronautics1São PauloBrazil
  2. 2.Intelligent Techniques LaboratoryUniversity of São Paulo2São PauloBrazil

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