M.Sc. / Advancements in technology used in financial markets have led to substantial automation of tasks within the financial industry. Data analysis, trade execution and trade processing have been automated, reducing costs and increasing productivity. Algorithmic trading is the automated execution of trades on an electronic trading platform; it has been used to gain competitive advantage in financial markets since the early 1990s. Algorithmic trading applications, which must analyse information and determine whether to buy or sell, are well suited to the use of autonomous software agents. Multi-agent systems are better suited to the increasing complexity of algorithmic trading systems and the flexibility required by rapidly changing markets than single-agent systems. The granularity of components (agents) in multi-agent systems also promotes reuse and simplifies individual agent design. Algorithmic trading is, however, subject to challenges specifically in terms of data volume, speed of access and speed of processing. In order to utilise a multi-agent system solution the interactions between agents which allow distributed problem solving must be as efficient as possible. This dissertation investigates the use of indirect coordination to improve the efficiency of interactions between agents in multi-agent systems and to simplify agent design. Indirect coordination utilises environment abstractions known as artefacts to facilitate interaction between agents; such interaction can be simple data transfer or requests, complex coordination protocols as well as negotiation protocols. The investigation resulted in a framework that allows agents to transition between direct and indirect interaction techniques based on the specific interaction task at hand. The framework is built on two existing platforms, ii Java Agent DEvelopment Framework (JADE) and Common ARTifact Infrastructure for AGents Open environments (CARTAGO). These platforms are combined into the JADE-CARTAGO Algorithmic Trading (JCAT) framework that provides the infrastructure needed for both direct and indirect interactions. Investigations into the performance of the JCAT framework have shown that artefacts improve interaction efficiency by reducing data loss in tasks such as information publishing, and perform as well as direct communication within certain constraints for other tasks. When limiting the number of agents in an interaction to 50 agents, artefacts perform at least as well as direct communication using agent communication language messages.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uj/uj:8749 |
| Date | 08 June 2012 |
| Creators | Overmars, Michelle |
| Source Sets | South African National ETD Portal |
| Detected Language | English |
| Type | Thesis |
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