Intelligent Systems for Economics Digest (IE-Digest) ---------------------------------------------------- ______ Thursday, December 17, 1992 Issue No. 4 ____ -------------------------------------------------------------------- Send contributions to: IE-list@cs.ucl.ac.uk Send administrative requests to: IE-list-request@cs.ucl.ac.uk (For users in the UK, IE-list-request@uk.ac.ucl.cs IE-list@uk.ac.ucl.cs) To access anonymous ftp archive: %ftp cs.ucl.ac.uk (128.16.5.31) cd ie List Maintainer: Suran Goonatilake Dept. of Computer Science University College London Gower St., London WC1E 6BT, UK surang@cs.ucl.ac.uk (+44) 71 - 387 7050 ext 3719 -------------------------------------------------------------------- Today's Topics: - The opening of the Arizona Token Exchange - SIMCC, a constraint based qualitative simulator and paper on Constraint-based qualitative simulation - ORAIS'93 Stream on AI in Economics and Finance - Call for papers, International congress on Modelling and Simulation ----------------------------------------------------------------------------- From: John Rust ANNOUNCING THE OPENING OF THE ARIZONA TOKEN EXCHANGE (AZTE) January 1, 1993 Earn cash profits by competing against computerized program traders THE CHALLENGE Is "artificial intelligence" superior to human intelligence? In some domains such as chess, computer programs now outperform all but the very best human players. However in other domains such as speech, handwriting, and other kinds of pattern recognition, computers lag far behind human beings. On Wall Street computer "program traders" are becoming increasingly common, yet there is substantial controversy over their performance -- they have even been blamed as a factor in the October 1987 stock market crash. The purpose of this study, co-sponsored by the University of Arizona's Economic Science Laboratory and the Santa Fe Institute, is to compare the performance of human and program traders to see whether humans can learn to exploit the limitations and idiosyncracies of computers in repeated interactions. THE ARIZONA TOKEN EXCHANGE To compare the performance of human and program traders we have created a computerized market, the Arizona Token Exchange (AZTE), in which a fictional commodity, "tokens", are traded. The market is a simplified version of commodity exchanges such as the Chicago Board of Trade where buyers and sellers are able to call out bids and asks to buy or sell units of the commodity. In each trading session on AZTE traders are assigned the role of buyer or seller and are given an allocation of tokens. A seller's objective is to sell their tokens for as much as possible above the token cost and a buyer's objective is to buy tokens as cheaply as possible below their redemption value. By ranking the token costs and redemption values, well-defined supply and demand curves can be constructed. The intersection of these curves defines the so-called competitive equilibrium (CE) price and quantity, at which neoclassical economic theory predicts all trading will occur. The complication is that in the AZTE, each trader's token costs and redemption values are private information and differ from trader to trader. Thus traders in the AZTE face a complex sequential decision problem: how much should they bid or ask for their own tokens, how soon should they place a bid or ask, and under what circumstances should they accept an outstanding bid or ask of some other trader? An additional complication is that each trading session runs for a fixed amount of time. This creates a difficult trade-off, for if traders spend too much time looking for a good deal, they may find themselves locked out of the market without trading anything. HOW IS TRADER PERFORMANCE EVALUATED? In the AZTE there is a well-defined performance measure: trading efficiency, EFF. This is the ratio of profits a trader actually earns divided by the profits it would have made if all trades took place at the competitive equilibrium level. Thus, if a trader's EFF is greater than 100% they are earning more than their "fair" share of the profits. The use of EFF is more desirable performance measure than simply using trading profits, since profits depend on the token allocations which are allocated at random from a known distribution. After each trading session, participants will earn cash profits equal to the following linear function of their efficiency: $ payments = a + b(EFF-100) The term a represents a fixed fee paid for participating in the trading session and the term b(EFF-100) represents a bonus (penalty) for trading above (or below) 100% efficiency. Thus, it is possible to lose money in any particular trading session. Dollar earnings are cumulated over successive trading sessions and subjects are eligible to "cash out" at any time after participating in a minimum number of trading sessions (provided cumulative earnings are positive). THE OPPONENTS: COMPUTER PROGRAM TRADERS Unlike real commodities markets where most traders are humans, in the AZTE all of your opponents will be computer programs. The opponent programs will be selected from a field of over 30 different trading strategies including winners of the Santa Fe Institute's Double Auction Tournament held in March, 1990. The program traders range in sophistication from simple rules of thumb (such as Gode-Sunder "Zero-Intelligence" strategy) to sophisticated optimizing/learning algorithms (such as neural nets and genetic algorithms) developed from the recent literature on artificial intelligence. The identities of your opponents will (usually) be revealed to you at the start of each trading session. You will also be informed about other market characteristics such as the number of buyers and sellers, the number of tokens, and the joint distribution from which token values are drawn. SETTING UP AN ACCOUNT To trade on the AZTE you will need a Unix or PC-compatible computer linked to the Internet computer network. We provide the trading interface software that allows you to log on and trade at any time you like and for as long as you like (subject to general restrictions). To qualify for an AZTE trading account you need to file an application providing information on your address, phone, and email address, and a release form stating whether or not you want to remain anonymous in published analyses of the outcome of this experiment. Upon receipt of the application we will set up a trading account and access password. Your dollar earnings will cumulate in your account until you decide to cash out, at which time we will close your account and mail you a check for the total amount of your earnings. The software and ASCII traders' manual (including the application form) is available via anonymous ftp on "fido.econ.arizona.edu", in the azte sub-directory. The manual (azte.man) explains how the software works and what is required to use it. We suggest you ftp this first and read through it, then get the appropriate trading interface for your system. The DOS interface requires VGA graphics resolution and the use of Clarkson packet drivers for the network interface card. The Clarkson drivers are also available via ftp on "fido.econ.arizona.edu". If you don't have access to anonymous ftp, we will mail you a diskette containing the software and trader's manual. To cover the costs of a diskette and surface mail, send $5.00 to: Shawn LaMaster Manager, Economic Science Systems Development Economic Science Laboratory McClelland Hall, Room #116 University of Arizona Tucson, Arizona 85719 (602) 621-6218 Internet: lamaster@ziggy.econ.arizona.edu We will assist in ftp and setting up the Clarkson packet drivers, just give us a call. The AZTE software was co-developed by: Sean Coates Economic Science Laboratory, University of Arizona Shawn LaMaster Economic Science Laboratory, University of Arizona Richard G. Palmer Duke University John Rust University of Wisconsin Vernon L. Smith Economic Science Laboratory, University of Arizona ----------------------------------------------------------------------------- From: Juan Jose Alba Rios Subject: SIMCC: constraint based qualitative simulation in C Dear colleagues, We have developed SIMCC, a constraint based qualitative simulator, written in Turbo C and running on a PC. Here you will find enclosed a report describing SIMCC and comparing it to the initial versions of QSIM. If you are interested in this development, we can supply: - A quality copy of the enclosed report (including figures) - The SIMCC source code - The SIMCC user manual (now in Spanish, very soon in English) - More technical documentation on SIMCC (most of it in Spanish, it could be partially translated into English if there is interested people). We are very interested in any suggestion, criticism or idea about all this material provided by the qualitative reasoning community. We have been applying SIMCC to some simple diagnosis problems in the industrial domain, but we are interested in more complex applications (including other areas, such as medical diagnosis, economics, etc). If you want to receive a copy of some of the documents or programs listed above, please send me your postal address. Thank you very much in advance. Best regards, Juan J. Alba ----------------- Constraint-based qualitative simulation and its application to diagnosis Juan J. Alba, Jose Villar, Antonio Munoz Instituto de Investigacion Tecnologica Universidad Pontificia Comillas Alberto Aguilera, 23. 28015 Madrid (alba@iit.upco.es) phone +34 1 544 90 88 fax +34 1 549 87 31 Abstract This paper describes SIMCC, a constraint-based qualitative simulation system. SIMCC is based on Benjamin Kuipers' QSIM algorithm, but it includes new constraints, improvements in the representation of dynamic-structure systems, qualitative and quantitative information management, explicit treatment of time and a better filtering mechanism. SIMCC application in diagnosis and monitoring of industrial equipment and processes is also discussed. [The full paper has been placed in the IE archive -- S.G.] To retrieve, %ftp cs.ucl.ac.uk Name: anonymous Password: (your email address) ftp> cd ie ftp> get alba_qual_sim ftp> bye ----------------------------------------------------------------------------- From: "G. Karakoulas - AUEB" Subject: ORAIS'93_Stream_on_AI_in_Economics_and_Finance Dear Colleague, The IFIP Working Group 9.5, Social Implications of Artificial Intelligence, in cooperation with the British Operational Research Society, organizes the Second International Conference on Opportunities and Risks of Artificial Intelligence Systems (ORAIS'93), to be held at City University, London, U.K., from July 27th-30th, 1993. The conference aims to bring together academics and practitioners from all over the world who are involved in the study, management, development and application of Artificial Intelligence Systems in order to discuss current and further opportunities and risks of AI systems. We have been appointed by the Programme Committee of ORAIS'93 to organize a stream on "AI in Economics and Finance". In case you are interested in submitting a paper to this stream could you please send us an abstract (appr. 300 words) of the paper before January 1993. The Programme Committee includes Prof. I. Bratko, Prof. K. Brunnstein, Prof. R.Kowalski, Prof. R.O'Keefe and others. Important Dates of ORAIS'93: Paper submission deadline March 19th 1993 Notification of acceptance April 30th 1993 Camera ready copies May 31st 1993 Hoping to giving us the opportunity to welcome you to the stream at ORAIS'93, we thank you for your attention. Best regards, Georgios Doukidis, Grigorios Karakoulas Department of Informatics, Athens University of Economics and Business, 76 Patission St., 104 34 Athens, Greece. Tel No.: +30-1-8233523 Fax No.: +30-1-8226204 E-mail : {gdouk,gkarak}@isosun.ariadne-t.gr ----------------------------------------------------------------------------- From: marinova@csuvax1.csu.murdoch.edu.au CALL FOR PAPERS INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION, 1993 University of Western Australia, Perth December 6-10, 1993 ORGANISED BY MODELLING AND SIMULATION SOCIETY OF AUSTRALIA INTERNATIONAL SOCIETY FOR ECOLOGICAL MODELLING INTERNATIONAL ASSOCIATION FOR MATHEMATICS AND COMPUTERS IN SIMULATION and ENVIROSOFT CONFERENCE SERIES Theme: MODELLING CHANGE IN ENVIRONMENTAL AND SOCIOECONOMIC SYSTEMS PAPERS ON THE FOLLOWING TOPICS ARE CALLED FOR: General * Papers which address the effects of environmental change * Interdisciplinary methods or applications in any problem area * Physical and biological systems including biospheric, forest, fresh water, marine and terrestrial ecosystems * Geophysical or biophysical systems including agricultural, atmospheric, hydrological, oceanographic and pastoral systems * Economic and other social systems * Any general aspects of modelling and simulation Specific * Agricultural models and information technology * Acoustic, air pollution, fire, noise and odour modelling * Alternative and conventional energy, communication and transport systems * Business modelling * Computational advances including numerical methods and multi-processing * Computational modelling of fluids * Demographic methods and applications * Development and application of geographic information and expert systems including remote sensing techniques and applications * Developments in mathematical, statistical and numerical methodology * Econometric and statistical modelling * Ecotechnology and modelling * Health and disease models and analysis applications including epidemiology * Industrial and engineering methods and applications including design and control * Land degradation processes and management * Modelling and/or risk analysis of hazards, extremes and epidemics * Modelling in urban planning * Operation research methods and applications * Progress and application of geographic information and expert systems including remote sensing techniques and application * resource allocation, management and optimisation * Signal processing including pattern recognition, neural networks and wavelets * Structural geology, resource exploration and recovery * Surface and subsurface hydrology and water quality modelling * Techniques for inverse problems including model identification, validation and quantification of uncertainty Deadlines: for receipt of abstracts of about 300 words in TRIPLICATE is May 8, 1993 for accepted abstracts, full papers up to 6 pages is August 2, 1993 PLEASE ADDRESS ENQUIRES AND ABSTRACTS TO THE INTERNATIONAL CONGRESS SECRETARIAT: Professor Michael McAleer, Department of Economics, University of Western Australia, Nedlands, Perth, WA 6009, Australia telephone (61) (9) 380 34 00 fax (61) (9) 380 1016 Registration fees: Before June 18, 1993 A$250.00 (students A$100.00) Before October 8, 1993 A$ 300.00 (students A$125.00) After October 8, 1993 A$ 350.00 (students A$ 150.00) For more information you can contact the following email addresses: Tony@cres1.anu.edu.au marinova@csuvax1.csu.murdoch.edu.au **************************** End of IE-Digest *******************************