1. On Markets Structures and others Sights… Thesis Hints. Alessandro Cappellini April 29 th 2005 cappellini@econ.unito.it

2. 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)

3. 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

4. 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…

5. Platform: Ambitious Proposal Distributed Simulation (a la Nemote) Split the objects of SUM into independent programs Books – Markets Mechanisms News Generators Banks Clearing/Accounting Humans Web Server/Interface Agents Data Providers GAs, CSs, ANNs

6. Market Comparison Different Markets types Different Rules Different Price Determination Financial and Quasi-Financial Markets … … and Simulations Comparison?

7. Traders Brokers - Institutrional Market Makers Datawahehouses - Centralized Books Price communications Orders / Trading

8. Traders Brokers - Institutrional Market Makers Datawahehouses - Centralized Books Price communications Orders / Trading MTA NYSENASDAQ

9. Traders Brokers - Institutrional Market Makers Datawahehouses - Centralized Books MTS FX - MMGME Price communications Orders / Trading … More complex structures …

10. 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

11. 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?

12. 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