\contentsline {chapter}{List of Tables}{vii}
\contentsline {chapter}{List of Figures}{ix}
\contentsline {chapter}{Abstract}{xi}
\contentsline {chapter}{Acknowledgments}{xiii}
\contentsline {chapter}{\numberline {1}Introduction}{1}
\contentsline {section}{\numberline {1.1}Background}{1}
\contentsline {section}{\numberline {1.2}Statement of Problem}{2}
\contentsline {section}{\numberline {1.3}Aims}{2}
\contentsline {section}{\numberline {1.4}Research Method}{2}
\contentsline {section}{\numberline {1.5}Outline}{3}
\contentsline {chapter}{\numberline {2}Computational Learning Techniques}{6}
\contentsline {section}{\numberline {2.1}Introduction}{6}
\contentsline {section}{\numberline {2.2}Reinforcement Learning}{7}
\contentsline {subsubsection}{Overview}{7}
\contentsline {subsection}{\numberline {2.2.1}Policy-Only}{7}
\contentsline {subsection}{\numberline {2.2.2}Reinforcement Comparison}{8}
\contentsline {subsection}{\numberline {2.2.3}Adaptive Heuristic Critic}{9}
\contentsline {subsection}{\numberline {2.2.4}Q Learning}{9}
\contentsline {subsection}{\numberline {2.2.5}Dyna Architectures}{10}
\contentsline {subsection}{\numberline {2.2.6}The Learning Automaton}{10}
\contentsline {subsubsection}{Fixed Structure Deterministic Automata}{11}
\contentsline {subsubsection}{Fixed-Structure Stochastic Automata}{11}
\contentsline {subsubsection}{Variable-Structure Stochastic Automata}{12}
\contentsline {section}{\numberline {2.3}Evolutionary Computation}{12}
\contentsline {subsection}{\numberline {2.3.1}Overview}{12}
\contentsline {subsection}{\numberline {2.3.2}Learning as an Optimisation Process}{13}
\contentsline {subsubsection}{Overview}{13}
\contentsline {subsubsection}{Optimisation}{13}
\contentsline {subsubsection}{Categories of Optimisation Problems}{14}
\contentsline {paragraph}{Experimental Optimisation Problems}{14}
\contentsline {paragraph}{Mathematical Optimisation Problems}{14}
\contentsline {paragraph}{Constrained Optimisation Problems}{14}
\contentsline {subsection}{\numberline {2.3.3}Evolutionary Programming}{15}
\contentsline {subsubsection}{Extensions}{16}
\contentsline {subsection}{\numberline {2.3.4}Evolution Strategies}{16}
\contentsline {subsubsection}{Overview}{16}
\contentsline {subsubsection}{Representation of Individuals}{18}
\contentsline {subsubsection}{Comma versus Plus Strategies}{18}
\contentsline {subsubsection}{Two Membered Evolution Strategies}{19}
\contentsline {subsubsection}{Multimembered Evolution Strategies}{19}
\contentsline {subsubsection}{Step Length Control}{20}
\contentsline {paragraph}{Two membered strategy}{20}
\contentsline {paragraph}{Multimembered strategy}{21}
\contentsline {subsubsection}{Recombination}{21}
\contentsline {paragraph}{Discrete Recombination}{21}
\contentsline {paragraph}{Intermediary Recombination}{21}
\contentsline {subsubsection}{Extensions of the Evolution Strategy}{22}
\contentsline {subsection}{\numberline {2.3.5}Genetic Algorithms}{22}
\contentsline {subsubsection}{Cultural Algorithms}{24}
\contentsline {subsection}{\numberline {2.3.6}Genetic Programming}{25}
\contentsline {subsection}{\numberline {2.3.7}Neural Networks}{25}
\contentsline {section}{\numberline {2.4}Evaluation of Learning Techniques}{26}
\contentsline {section}{\numberline {2.5}Conclusion}{27}
\contentsline {chapter}{\numberline {3}Intelligent Agents in Auction Markets}{29}
\contentsline {section}{\numberline {3.1}Introduction}{29}
\contentsline {section}{\numberline {3.2}Intelligent Agents}{29}
\contentsline {paragraph}{Autonomy.}{30}
\contentsline {paragraph}{Social Ability.}{30}
\contentsline {paragraph}{Reactivity.}{30}
\contentsline {paragraph}{Pro-activeness.}{30}
\contentsline {paragraph}{Rationality.}{30}
\contentsline {paragraph}{The Ideal Rational Agent.}{31}
\contentsline {section}{\numberline {3.3}Intelligent Agents in Auction Markets}{31}
\contentsline {subsection}{\numberline {3.3.1}Overview}{31}
\contentsline {subsection}{\numberline {3.3.2}Trader Goals}{31}
\contentsline {subsection}{\numberline {3.3.3}Bounded Rationality}{32}
\contentsline {subsection}{\numberline {3.3.4}Current Research}{32}
\contentsline {subsection}{\numberline {3.3.5}Application of Computational Learning Techniques to Artificial Traders}{33}
\contentsline {section}{\numberline {3.4}Conclusion}{34}
\contentsline {chapter}{\numberline {4}Software Design and Implementation}{35}
\contentsline {section}{\numberline {4.1}Introduction}{35}
\contentsline {section}{\numberline {4.2}The Basic Double Auction Market Simulation}{36}
\contentsline {subsection}{\numberline {4.2.1}Overview}{36}
\contentsline {subsection}{\numberline {4.2.2}Basic Simulation Design}{36}
\contentsline {subsection}{\numberline {4.2.3}Traders}{37}
\contentsline {subsubsection}{Non-Interactive Trades}{37}
\contentsline {subsubsection}{Interactive Trades}{38}
\contentsline {subsection}{\numberline {4.2.4}The Role of $\epsilon _1$, $\epsilon _2$ and P$_i$ Variables}{40}
\contentsline {section}{\numberline {4.3}Design Considerations of Software Extensions}{41}
\contentsline {subsection}{\numberline {4.3.1}Basic Aims}{41}
\contentsline {subsection}{\numberline {4.3.2}Choice of Learning Technique}{41}
\contentsline {subsection}{\numberline {4.3.3}Trader Parameters to be 'Learnt'}{42}
\contentsline {subsection}{\numberline {4.3.4}Duration of Offspring Trading Trials}{44}
\contentsline {subsection}{\numberline {4.3.5}Measurement of Trader Fitness}{45}
\contentsline {subsection}{\numberline {4.3.6}Restrictions on the Allowable Search Space}{46}
\contentsline {section}{\numberline {4.4}Implementation of Software Extensions}{47}
\contentsline {subsection}{\numberline {4.4.1}Simulation Algorithm}{47}
\contentsline {subsection}{\numberline {4.4.2}Integration of the Two Membered Evolution Strategy}{47}
\contentsline {subsection}{\numberline {4.4.3}Modifications to the \emph {Trader} Class}{49}
\contentsline {section}{\numberline {4.5}Conclusion}{50}
\contentsline {chapter}{\numberline {5}Validation}{51}
\contentsline {section}{\numberline {5.1}Introduction}{51}
\contentsline {section}{\numberline {5.2}Method}{51}
\contentsline {section}{\numberline {5.3}Model Objective Functions}{53}
\contentsline {subsection}{\numberline {5.3.1}Sphere Model}{53}
\contentsline {subsection}{\numberline {5.3.2}Corridor Model}{53}
\contentsline {section}{\numberline {5.4}Test Cases}{55}
\contentsline {subsection}{\numberline {5.4.1}Test Case 1}{55}
\contentsline {subsubsection}{Purpose}{55}
\contentsline {subsubsection}{Parameter Configuration}{55}
\contentsline {subsubsection}{Expected Results}{55}
\contentsline {subsection}{\numberline {5.4.2}Test Case 2}{56}
\contentsline {subsubsection}{Purpose}{56}
\contentsline {subsubsection}{Parameter Configuration}{56}
\contentsline {subsubsection}{Expected Results}{57}
\contentsline {subsection}{\numberline {5.4.3}Test Case 3}{57}
\contentsline {subsubsection}{Purpose}{57}
\contentsline {subsubsection}{Parameter Configuration}{57}
\contentsline {subsubsection}{Expected Results}{57}
\contentsline {subsection}{\numberline {5.4.4}Test Case 4}{57}
\contentsline {subsubsection}{Purpose}{57}
\contentsline {subsubsection}{Parameter Configuration}{58}
\contentsline {subsubsection}{Expected Results}{58}
\contentsline {section}{\numberline {5.5}Results}{59}
\contentsline {subsection}{\numberline {5.5.1}Test Case 1}{59}
\contentsline {subsubsection}{\emph {OptimA} Package}{59}
\contentsline {subsubsection}{Evolution Strategy Class}{60}
\contentsline {subsubsection}{Conclusion}{60}
\contentsline {subsection}{\numberline {5.5.2}Test Case 2}{60}
\contentsline {subsubsection}{\emph {OptimA} Package}{60}
\contentsline {subsubsection}{Evolution Strategy Class}{60}
\contentsline {subsubsection}{Conclusion}{61}
\contentsline {subsection}{\numberline {5.5.3}Test Case 3}{61}
\contentsline {subsubsection}{\emph {OptimA} Package}{61}
\contentsline {subsubsection}{\emph {EvolutionStrategy} Class}{61}
\contentsline {subsubsection}{Conclusion}{61}
\contentsline {subsection}{\numberline {5.5.4}Test Case 4}{62}
\contentsline {subsubsection}{\emph {OptimA} Package}{62}
\contentsline {subsubsection}{\emph {EvolutionStrategy} Class}{62}
\contentsline {subsubsection}{Conclusion}{62}
\contentsline {section}{\numberline {5.6}Conclusion}{63}
\contentsline {chapter}{\numberline {6}Experimental Design and Analysis}{66}
\contentsline {section}{\numberline {6.1}Introduction}{66}
\contentsline {section}{\numberline {6.2}Hypothesis}{66}
\contentsline {section}{\numberline {6.3}Methods}{67}
\contentsline {section}{\numberline {6.4}Experimental Design}{67}
\contentsline {subsection}{\numberline {6.4.1}Overview}{67}
\contentsline {subsection}{\numberline {6.4.2}Response Variable}{67}
\contentsline {subsection}{\numberline {6.4.3}Input Parameters}{68}
\contentsline {subsubsection}{Experimental Parameters}{68}
\contentsline {subsubsection}{Fixed Input Parameters}{69}
\contentsline {subsection}{\numberline {6.4.4}Summary of Experiments}{69}
\contentsline {subsection}{\numberline {6.4.5}Limitations and Assumptions}{70}
\contentsline {section}{\numberline {6.5}Results}{71}
\contentsline {subsection}{\numberline {6.5.1}Experiment 1}{71}
\contentsline {subsubsection}{Part A}{71}
\contentsline {subsubsection}{Part B}{72}
\contentsline {subsection}{\numberline {6.5.2}Experiment 2}{75}
\contentsline {subsubsection}{Part A}{75}
\contentsline {subsubsection}{Part B}{75}
\contentsline {subsection}{\numberline {6.5.3}Experiment 3}{76}
\contentsline {subsubsection}{Part A}{78}
\contentsline {subsubsection}{Part B}{80}
\contentsline {subsection}{\numberline {6.5.4}Experiment 4}{82}
\contentsline {subsubsection}{Part A}{82}
\contentsline {subsubsection}{Part B}{82}
\contentsline {subsection}{\numberline {6.5.5}Experiment 5}{82}
\contentsline {subsection}{\numberline {6.5.6}Summary of Results}{84}
\contentsline {section}{\numberline {6.6}Discussion}{85}
\contentsline {subsection}{\numberline {6.6.1}Analysis of Results}{85}
\contentsline {subsection}{\numberline {6.6.2}Likely Reasons for Unexpected Results}{86}
\contentsline {subsubsection}{Lack of Strong Causality}{86}
\contentsline {subsubsection}{Noisy Fitness Function}{87}
\contentsline {subsubsection}{Rugged Search Landscape}{87}
\contentsline {subsubsection}{Short Simulation Runs}{88}
\contentsline {subsubsection}{Other Likely Influences}{88}
\contentsline {subsection}{\numberline {6.6.3}Implications}{89}
\contentsline {section}{\numberline {6.7}Conclusion}{89}
\contentsline {chapter}{\numberline {7}Conclusion}{91}
\contentsline {section}{\numberline {7.1}Possible Extensions and Future Developments}{92}
\contentsline {chapter}{Auction Simulation Source Code}{97}
\contentsline {chapter}{Test Code for \emph {EvolutionStrategy} Class}{154}