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Modeling and Simulation of an Artificial Stock Option Market

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  • Sabrina Ecca
  • Michele Marchesi
  • Alessio Setzu

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  • Sabrina Ecca & Michele Marchesi & Alessio Setzu, 2008. "Modeling and Simulation of an Artificial Stock Option Market," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 37-53, September.
    • Handle: RePEc:kap:compec:v:32:y:2008:i:1:p:37-53
    DOI: 10.1007/s10614-008-9134-6
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    References listed on IDEAS

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    1. Bollen, Nicolas P. B., 1998. "A note on the impact of options on stock return volatility1," Journal of Banking & Finance, Elsevier, vol. 22(9), pages 1181-1191, September.
    2. Niehaus, Frank, 2001. "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," Hannover Economic Papers (HEP) dp-234, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    4. Robert Tompkins, 2001. "Implied volatility surfaces: uncovering regularities for options on financial futures," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 198-230.
    5. St Pierre, Eileen F, 1998. "The Impact of Option Introduction on the Conditional Return Distribution of Underlying Securities," The Financial Review, Eastern Finance Association, vol. 33(1), pages 105-118, February.
    6. Kabir, M.R., 1997. "New Evidence on Price and Volatility Effects of Stock Option Introductions," Discussion Paper 1997-37, Tilburg University, Center for Economic Research.
    7. Heer, Burkhard & Trede, Mark & Wahrenburg, Mark, 1997. "The Effect of Option Trading at the DTB on the Underlying Stocks' Return Variance," Empirical Economics, Springer, vol. 22(2), pages 233-245.
    8. Marco Raberto & Silvano Cincotti & Sergio Focardi & Michele Marchesi, 2003. "Traders' Long-Run Wealth in an Artificial Financial Market," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 255-272, October.
    9. Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(1), pages 75-89.
    10. Wei, Peihwang & Poon, Percy S & Zee, Susan, 1997. "The Effect of Option Listing on Bid-Ask Spreads, Price Volatility, and Trading Activity of the Underlying OTC Stocks," Review of Quantitative Finance and Accounting, Springer, vol. 9(2), pages 165-180, September.
    11. Hakansson, Nils H, 1982. "Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation," Journal of Finance, American Finance Association, vol. 37(4), pages 977-1004, September.
    12. Conrad, Jennifer, 1989. " The Price Effect of Option Introduction," Journal of Finance, American Finance Association, vol. 44(2), pages 487-498, June.
    13. Fedenia, Mark & Grammatikos, Theoharry, 1992. "Options Trading and the Bid-Ask Spread of the Underlying Stocks," The Journal of Business, University of Chicago Press, vol. 65(3), pages 335-351, July.
    14. Raberto, Marco & Cincotti, Silvano & Focardi, Sergio M. & Marchesi, Michele, 2001. "Agent-based simulation of a financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 319-327.
    15. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    16. Raman Kumar & Atulya Sarin & Kuldeep Shastri, 1998. "The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 53(2), pages 717-732, April.
    17. Mannaro, Katiuscia & Marchesi, Michele & Setzu, Alessio, 2008. "Using an artificial financial market for assessing the impact of Tobin-like transaction taxes," Journal of Economic Behavior & Organization, Elsevier, vol. 67(2), pages 445-462, August.
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    Cited by:

    1. Hai-Chuan Xu & Wei Zhang & Xiong Xiong & Wei-Xing Zhou, 2014. "An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-10, April.
    2. Colin M. Van Oort & Ethan Ratliff-Crain & Brian F. Tivnan & Safwan Wshah, 2023. "Adaptive Agents and Data Quality in Agent-Based Financial Markets," Papers 2311.15974, arXiv.org.

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