There is an increasing demand for designers and developers to construct ever larger multi-agent systems. Such systems will be composed of hundreds or even thousands of autonomous agents. Moreover, in open and dynamic environments, the number of agents in the system at any one time will fluctuate significantly. To cope with these twin issues of scalability and variable numbers, we hypothesize that multi-agent systems need to be both /self-building/ (able to determine the most appropriate organizational structure for the system by themselves at run-time) and /adaptive/ (able to change this structure as their environment changes). To evaluate this hypothesis we have implemented such a multi-agent system and have applied it to the domain of automated trading. Preliminary results supporting the first part of this hypothesis are presented: adaption and self-organization do indeed make the system better able to cope with large numbers of agents.