Efficient monitoring of financial orders with agent-based technologies Philippe MATHIEU and Olivier BRANDOUY Abstract The execution of orders on stock exchanges is managed by a set of formalized rules based on price and time priority. Nevertheless, orders issued by investors do not show-up directly in the market system : they transit through the brokerage intermediation where they can be arranged in different sequences. We show that the latter operation has a critical impact on investors. In this paper, we propose a decision support system that solves the underlying optimization problem for a given social welfare. We show that the solution cannot be obtained without an agent-based simulation platform that individualizes the consequences of the broker decision in terms of order sequencing at the agent (client) level. In this framework, we study the impact of several social welfares functions and show how the broker can grant his clients with ”just and equitable principles of trade”. Introduction In modern stock exchanges, investors almost never have the ability to route their orders directly to the market; they must use the services of a financial intermediary whose task is to trade securities on behalf of his customers: a broker. Thus, the role of the broker consists in introducing their orders in one of the various trading platforms that are available for the relevant financial commodity. These platforms usually run with electronic order books. Basi- cally, an order book captures the on-going continuous double auction process Philippe MATHIEU Universit´ e Lille 1, Computer Science Dept. & LIFL (UMR CNRS-USTL 8022), e-mail: philippe.mathieu@lifl.fr Olivier BRANDOUY Sorbonne Graduate School of Business, Dept. of Finance & GREGOR (EA MESR-U.Paris1 2474), e-mail: olivier.brandouy@univ-paris1.fr 1