Explorations in Evolutionary Design of Online Auction Market Mechanisms

This paper describes the use of a genetic algorithm (GA) to find optimal parameter-values for trading agents that operate in virtual online auction “e-marketplaces”, where the rules of those marketplaces are also under simultaneous control of the GA. The aim is to use the GA to automatically design new mechanisms for agent-based e-marketplaces that are more efficient than online markets designed by (or populated by) humans. The space of possible auction-types explored by the GA includes the Continuous Double Auction (CDA) mechanism (as used in most of the world’s financial exchanges), and also two purely one-sided mechanisms. Surprisingly, the GA did not always settle on the CDA as an optimum. Instead, novel hybrid auction mechanisms were evolved, which are unlike any existing market mechanisms. In this paper we show that, when the market supply and demand schedules undergo sudden “shock” changes partway through the evaluation process, two-sided hybrid market mechanisms can evolve which may be unlike any human-designed auction and yet may also be significantly more efficient than any human designed market mechanism

Neuroethology, Computational

Over the past decade, a number of neural network researchers have used the term computational neuroethology to describe a specific approach to neuroethology. Neuroethology is the study of the neural mechanisms underlying the generation of behavior in animals, and hence it lies at the intersection of neuroscience (the study of nervous systems) and ethology (the study of animal behavior); for an introduction to neuroethology, see Simmons and Young (1999). The definition of computational neuroethology is very similar, but is not quite so dependent on studying animals: animals just happen to be biological autonomous agents. But there are also non-biological autonomous agents such as some types of robots, and some types of simulated embodied agents operating in virtual worlds. In this context, autonomous agents are self-governing entities capable of operating (i.e., coordinating perception and action) for extended periods of time in environments that are complex, uncertain, and dynamic. Thus, computational neuroethology can be characterised as the attempt to analyze the computational principles underlying the generation of behavior in animals and in artificial autonomous agents

hpDJ: An automated DJ with floorshow feedback

Many radio stations and nightclubs employ Disk-Jockeys (DJs) to provide a continuous uninterrupted stream or “mix” of dance music, built from a sequence of individual song-tracks. In the last decade, commercial pre-recorded compilation CDs of DJ mixes have become a growth market. DJs exercise skill in deciding an appropriate sequence of tracks and in mixing 'seamlessly' from one track to the next. Online access to large-scale archives of digitized music via automated music information retrieval systems offers users the possibility of discovering many songs they like, but the majority of consumers are unlikely to want to learn the DJ skills of sequencing and mixing. This paper describes hpDJ, an automatic method by which compilations of dance-music can be sequenced and seamlessly mixed by computer, with minimal user involvement. The user may specify a selection of tracks, and may give a qualitative indication of the type of mix required. The resultant mix can be presented as a continuous single digital audio file, whether for burning to CD, or for play-out from a personal playback device such as an iPod, or for play-out to rooms full of dancers in a nightclub. Results from an early version of this system have been tested on an audience of patrons in a London nightclub, with very favourable results. Subsequent to that experiment, we designed technologies which allow the hpDJ system to monitor the responses of crowds of dancers/listeners, so that hpDJ can dynamically react to those responses from the crowd. The initial intention was that hpDJ would monitor the crowd’s reaction to the song-track currently being played, and use that response to guide its selection of subsequent song-tracks tracks in the mix. In that version, it’s assumed that all the song-tracks existed in some archive or library of pre-recorded files. However, once reliable crowd-monitoring technology is available, it becomes possible to use the crowd-response data to dynamically “remix” existing song-tracks (i.e, alter the track in some way, tailoring it to the response of the crowd) and even to dynamically “compose” new song-tracks suited to that crowd. Thus, the music played by hpDJ to any particular crowd of listeners on any particular night becomes a direct function of that particular crowd’s particular responses on that particular night. On a different night, the same crowd of people might react in a different way, leading hpDJ to create different music. Thus, the music composed and played by hpDJ could be viewed as an “emergent” property of the dynamic interaction between the computer system and the crowd, and the crowd could then be viewed as having collectively collaborated on composing the music that was played on that night. This en masse collective composition raises some interesting legal issues regarding the ownership of the composition (i.e.: who, exactly, is the author of the work?), but revenue-generating businesses can nevertheless plausibly be built from such technologies

Remotely hosted services and 'cloud computing'

Emerging technologies for learning report - Article exploring potential of cloud computing to address educational issue

Evolutionary Optimization of ZIP60: A Controlled Explosion in Hyperspace

The “ZIP” adaptive trading algorithm has been demonstrated to out-perform human traders in experimental studies of continuous double auction (CDA) markets. The original ZIP algorithm requires the values of eight control parameters to be set correctly. A new extension of the ZIP algorithm, called ZIP60, requires the values of 60 parameters to be set correctly. ZIP60 is shown here to produce significantly better results than the original ZIP (called “ZIP8” hereafter), for negligable additional computational costs. A genetic algorithm (GA) is used to search the 60-dimensional ZIP60 parameter space, and it finds parameter vectors that yield ZIP60 traders with mean scores significantly better than those of ZIP8s. This paper shows that the optimizing evolutionary search works best when the GA itself controls the dimensionality of the search-space, so that the search commences in an 8-d space and thereafter the dimensionality of the search-space is gradually increased by the GA until it is exploring a 60-d space. Furthermore, the results from ZIP60 cast some doubt on prior ZIP8 results concerning the evolution of new ‘hybrid’ auction mechanisms that appeared to be better than the CDA

Visualizing Coevolution With CIAO Plots

In a previous paper [2], we introduced a number of visualization techniques that we had developed for monitoring the dynamics of artificial competitive co-evolutionary systems. One of these techniques involves evaluating the performance of an individual from the current population in a series of trials against opponents from all previous generations, and visualizing the results as a 2-d grid of shaded cells or pixels: qualitative patterns in the shading can indicate different classes of co-evolutionary dynamic. As this technique involves pitting a Current Individual against Ancestral Opponents, we referred to the visualizations as CIAO plots. Since then, a number of other authors studying the dynamics of competitive co-evolutionary systems have used CIAO plots or close derivatives to help illuminate the dynamics of their systems, and it has become something of a de facto standard visualization technique. In this very brief paper we summarise the rationale for CIAO plots, explain the method of constructing a CIAO plot, and review important recent results that identify significant limitations of this technique

Deep Learning can Replicate Adaptive Traders in a Limit-Order-Book Financial Market

We report successful results from using deep learning neural networks (DLNNs) to learn, purely by observation, the behavior of profitable traders in an electronic market closely modelled on the limit-order-book (LOB) market mechanisms that are commonly found in the real-world global financial markets for equities (stocks & shares), currencies, bonds, commodities, and derivatives. Successful real human traders, and advanced automated algorithmic trading systems, learn from experience and adapt over time as market conditions change; our DLNN learns to copy this adaptive trading behavior. A novel aspect of our work is that we do not involve the conventional approach of attempting to predict time-series of prices of tradeable securities. Instead, we collect large volumes of training data by observing only the quotes issued by a successful sales-trader in the market, details of the orders that trader is executing, and the data available on the LOB (as would usually be provided by a centralized exchange) over the period that the trader is active. In this paper we demonstrate that suitably configured DLNNs can learn to replicate the trading behavior of a successful adaptive automated trader, an algorithmic system previously demonstrated to outperform human traders. We also demonstrate that DLNNs can learn to perform better (i.e., more profitably) than the trader that provided the training data. We believe that this is the first ever demonstration that DLNNs can successfully replicate a human-like, or super-human, adaptive trader operating in a realistic emulation of a real-world financial market. Our results can be considered as proof-of-concept that a DLNN could, in principle, observe the actions of a human trader in a real financial market and over time learn to trade equally as well as that human trader, and possibly better.Comment: 8 pages, 4 figures. To be presented at IEEE Symposium on Computational Intelligence in Financial Engineering (CIFEr), Bengaluru; Nov 18-21, 201