On Markets Structures and others Sights Thesis Hints'

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On Markets Structures and others SightsThesis
Hints.

• Alessandro Cappellini
• April 29th 2005
• cappellini_at_econ.unito.it

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Themes, Researches and Interests

• Software Platforms
• Agents Design
• Markets Designs
• Markets Rules
• High Frequency Data
• Interbank and Money Market
• Behaviour of (single) Trader
• Traders Communities
• Communication Networks among Traders (Social
  Networks)
• Quasi-Financial Markets (Electricity)

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Open Issues

• Equations vs Mechanism (book )
• Rules
• Simulation vs Emulation
• Simulation vs Experiments
• Model for Data Analysis vs Model for Data
  Production
• (Real) Time Management
• Humans
• Monolithic vs Distributed Architecture

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Platforms SUM and SumWEB

• Strengths
• Realism of Book
• Heterogeneity of Agents
• More stocks, different financial instruments
• Interface
• Weaknesses
• Funds managements
• Interest Rates
• Structural limitation of Swarm (Real time
  management)
• Free risk bond

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Platform Ambitious Proposal

• Distributed Simulation (a la Nemote)
• Split the objects of SUM into independent programs

News Generators
Agents
Clearing/Accounting
GAs, CSs, ANNs
Books Markets Mechanisms
Data Providers
Banks
Humans
Web Server/Interface
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Market Comparison

• Different Markets types
• Different Rules
• Different Price Determination
• Financial and Quasi-Financial Markets
• and Simulations Comparison?

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Traders
Brokers - Institutrional
Market Makers
Datawahehouses - Centralized Books
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Traders
Brokers - Institutrional
Market Makers
Datawahehouses - Centralized Books
MTA
NYSE
NASDAQ
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Traders
Brokers - Institutrional
More complex structures
Market Makers
Datawahehouses - Centralized Books
MTS
FX - MM
GME
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Market Comparison Experiments

• Giving the same agent population, the same random
  seed, the same orders flow, what happens changing
  the market structures?
• And changing the book?
• Centralized continuous double action
• Walrasian auction
• Closing and Opening Auction
• And Changing Ordering?
• Price, time, quantity
• Privileged orders/traders

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Behaviuors

• Humans interactions
• Investors behavior Irrationality / bounded
  rationality / decision biases - Role of
  cognition, attitudes, beliefs, emotions. -
  Reactions to information - Investor types,
  styles, profiles - Marketing of financial assets
  (customers' profiles, segmentation, motivations)
• Markets behavior Anomalies, inefficiencies,
  asymetries, clusters, trends, alternances,
  distorsions - Manipulations - Weak / neglected
  signals
• Reproduction in Artificial Agents?

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Thesis Proposal

• Links and Team Works on some issues (practice,
  model and theory)
• Our stronger experience
• Platform design development
• Electricity Market could be an example