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A Modular Agent-Based Environment for Studying Stock Markets

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Author Info

  • Boer-Sorban, K.
  • Kaymak, U.
  • Bruin, A. de

Abstract

Artificial stock markets are built with diffuse priors in mind regarding trading strategiesand price formation mechanisms. Diffuse priors are a natural consequence of theunknown relation between the various elements that drive market dynamics and the largevariety of market organizations, findings, however, might hold only within the specific marketsettings. In this paper we propose a framework for building agent-based artificial stockmarkets. We present the mechanism of the framework based on a previously identified listof organizational and behavioural aspects. Within the framework experiments with arbitrarymany trading strategies, acting in various market organizations can be conducted in aflexible way, without changing its architecture. In this way experiments of other artificialstock markets, as well as theoretical models can be replicated and their findings compared.Comparisons of the different experimental results might indicate whether findings are dueto traders’ behaviour or to the chosen market structure and could suggest how to improvemarket quality.

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File URL: http://hdl.handle.net/1765/1929
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Bibliographic Info

Paper provided by Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. in its series Research Paper with number ERS-2005-017-LIS.

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Date of creation: 03 Apr 2005
Date of revision:
Handle: RePEc:dgr:eureri:30002104

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Web page: http://www.erim.eur.nl/

Related research

Keywords: simulatiemodellen; artificial stock markets; agent-based modelling; behavioural finance; computational economics;

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References

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  1. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  2. William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
  3. Boer-Sorban, K. & Bruin, A. de & Kaymak, U., 2005. "On the Design of Artificial Stock Markets," Research Paper ERS-2005-001-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
  4. Chen, Shu-Heng & Yeh, Chia-Hsuan, 2001. "Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 363-393, March.
  5. Marco Raberto & Silvano Cincotti & Sergio M. Focardi & Michele Marchesi, 2001. "Agent-based simulation of a financial market," Papers cond-mat/0103600, arXiv.org, revised Mar 2001.
  6. Hommes, C.H., . "Financial Markets as Nonlinear Adaptive Evolutionary Systems," CeNDEF Working Papers 00-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.
  8. Shu-Heng Chen & Thomas Lux & Michele Marchesi, 1999. "Testing for Non-Linear Structure in an Artificial Financial Market," Discussion Paper Serie B 447, University of Bonn, Germany.
  9. Cars H. Hommes, 2001. "Financial Markets as Nonlinear Adaptive Evolutionary Systems," Tinbergen Institute Discussion Papers 01-014/1, Tinbergen Institute.
  10. Marianne DEMARCHI & Thierry FOUCAULT, 2000. "Equity Trading Systems in Europe: A Survey of Recent Changes," Annales d'Economie et de Statistique, ENSAE, issue 60, pages 73-115.
  11. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2000. "Bifurcation Routes to Volatility Clustering," CeNDEF Working Papers 00-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  12. Theissen, Erik, 2000. "Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets," Journal of Financial Markets, Elsevier, vol. 3(4), pages 333-363, November.
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Cited by:
  1. Boer-Sorban, K. & Kaymak, U. & Spiering, J., 2006. "From Discrete-Time Models to Continuous-Time, Asynchronous Models of Financial Markets," Research Paper ERS-2006-009-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.

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