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Multi-Agent Simulation of Financial Markets

In: Formal Modelling in Electronic Commerce

Author

Listed:
  • Olga Streltchenko

    (University of Maryland Baltimore County)

  • Yelena Yesha

    (University of Maryland Baltimore County)

  • Timothy Finin

    (University of Maryland Baltimore County)

Abstract

This paper discusses the principal reasons for, and prospective opportunities of, simulating financial markets using an architecture based on artificial agents. The paper then discusses in detail the design and architecture of a simulator for financial markets. The Gaia methodology was employed in the development of MAFiMSi (Multi-Agent Finanacial Market Simulator), a general-purpose finacial market simulator of a dealer-type market. MAFiMSi is implemented as a library of C++ classes that currently support a stand-alone market simulation.

Suggested Citation

  • Olga Streltchenko & Yelena Yesha & Timothy Finin, 2005. "Multi-Agent Simulation of Financial Markets," International Handbooks on Information Systems, in: Steven O. Kimbrough & D.J. Wu (ed.), Formal Modelling in Electronic Commerce, pages 393-419, Springer.
  • Handle: RePEc:spr:ihichp:978-3-540-26989-2_15
    DOI: 10.1007/3-540-26989-4_15
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    Cited by:

    1. Iwao Maeda & David deGraw & Michiharu Kitano & Hiroyasu Matsushima & Hiroki Sakaji & Kiyoshi Izumi & Atsuo Kato, 2020. "Deep Reinforcement Learning in Agent Based Financial Market Simulation," JRFM, MDPI, vol. 13(4), pages 1-17, April.

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