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Agent-Based Model and Simulation Results

In: A Nasdaq Market Simulation Insights on a Major Market from the Science of Complex Adaptive Systems

Author

Listed:
  • VINCENT DARLEY

    (President & CEO of Eurobios, UK)

  • ALEXANDER V OUTKIN

    (Los Alamos National Laboratory, USA)

Abstract

The following sections are included:IntroductionModel OverviewMarketStrategiesEvolutionary Selection of Strategies and Learning StrategiesAn Outline of the Computer ModelResultsTick Size Effects on Price DiscoveryExplanations of Observed ResultsEffects of ParasitismEffects of Tick SizeAggregate Behavior of the MarketFat TailsHerding EffectsRange of Fat TailsSpread ClusteringOther ResultsProfitability of Market Makers' StrategiesInformational Content of the TradesMarket Structure AnalysisMarket's PredictabilityEffects of Market InfrastructureEffects of Learning and EvolutionConclusions

Suggested Citation

  • Vincent Darley & Alexander V Outkin, 2007. "Agent-Based Model and Simulation Results," World Scientific Book Chapters, in: A Nasdaq Market Simulation Insights on a Major Market from the Science of Complex Adaptive Systems, chapter 3, pages 39-70, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812708359_0003
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