A Framework for the Specification and Execution of Composite Trading Activities

Si, Yain Whar (2005) A Framework for the Specification and Execution of Composite Trading Activities. PhD thesis, Queensland University of Technology.

Abstract

In this thesis, a framework for the specification and execution of composite trading activities is presented. We begin by introducing the basic concepts and characteristics of elementary and composite trading activities. Based on these characteristics, we identify the issues associated with composite trading activities and argue the requirements of a frame- work for the specification and execution of those trading activities. In the second chapter, the most relevant work on negotiation protocols, software specification approaches, and recent work on trading activity specification is reviewed. In the third chapter, we analyse the characteristics of negotiation protocols and the information required to adequately represent composite trading activities.

In the next two chapters, we introduce two alternative approaches (myopic and forward- looking) for specifying composite trading activities by means of constraints, such as the number of required successful negotiations, the limit price for the items to be traded, and the temporal constraints imposed by all trading parties. A special interface is also defined in each framework to homogenise trading activities with differing negotiation protocols.

In myopic trading, composite activities are synchronised according to the information available on the constituent negotiation processes at any point in time. Myopic trading supports iterative negotiation in which trading activities can be renegotiated with new constraints. Myopic trading is suitable for situations in which finer control over the negotiation process is preferred by the trader, and information on previous negotiations as well as future negotiation opportunities are unavailable.

Forward-looking trading is based on the generation of negotiation plans detailing the exact time and duration for which trading activities are going to be executed. These plans are generated based on the histories of previous negotiations and future negotiation opportunities. In forward-looking trading, a planning and execution model is designed to maximise the expected utility of the trader. Forward-looking trading is suitable for situations in which a well-planned negotiation process is possible.

In the following chapter, two case studies are given to illustrate the applicability of the proposed framework. In the final chapter, we review our framework based on the set of requirements defined for the specification and execution of composite trading activities. In conclusion, we believe that composite trading activities can be effectively specified and executed based on the homogenisation of the various negotiation protocols involved and systematic planning of how these activities are going to be executed.

Impact and interest:

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ID Code: 16078
Item Type: QUT Thesis (PhD)
Supervisor: Edmond, David, Dumas Menjivar, Marlon, & ter Hofstede, Arthur
Keywords: Trading Activities, Negotiation Protocols, Trading Specification, Trading Execution And Synchronisation.
Divisions: Past > QUT Faculties & Divisions > Faculty of Science and Technology
Department: Faculty of Information Technology
Institution: Queensland University of Technology
Copyright Owner: Copyright Yain Whar Si
Deposited On: 03 Dec 2008 03:56
Last Modified: 21 Mar 2016 05:33

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