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Testing double auction as a component within a generic market model architecture

Author

Listed:
  • Bruno Beaufils

    (LIFL - Laboratoire d'Informatique Fondamentale de Lille - Université de Lille, Sciences et Technologies - Inria - Institut National de Recherche en Informatique et en Automatique - Université de Lille, Sciences Humaines et Sociales - CNRS - Centre National de la Recherche Scientifique, SMAC - Systèmes Multi-Agents et Comportements - CRIStAL - Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 - Centrale Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

  • Olivier Brandouy

    (LEM - Lille - Economie et Management - Université de Lille, Sciences et Technologies - CNRS - Centre National de la Recherche Scientifique)

  • Julien Derveeuw

    (LIFL - Laboratoire d'Informatique Fondamentale de Lille - Université de Lille, Sciences et Technologies - Inria - Institut National de Recherche en Informatique et en Automatique - Université de Lille, Sciences Humaines et Sociales - CNRS - Centre National de la Recherche Scientifique, SMAC - Systèmes Multi-Agents et Comportements - CRIStAL - Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 - Centrale Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

  • Philippe Mathieu

    (LIFL - Laboratoire d'Informatique Fondamentale de Lille - Université de Lille, Sciences et Technologies - Inria - Institut National de Recherche en Informatique et en Automatique - Université de Lille, Sciences Humaines et Sociales - CNRS - Centre National de la Recherche Scientifique, SMAC - Systèmes Multi-Agents et Comportements - CRIStAL - Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 - Centrale Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

Abstract

Artificial stock markets are models designed to capture essential properties of real stock markets in order to reproduce, analyze or understand market dynamics with computational experiments. Despite research advances in modern finance many questions remain unsolved: market dynamics exhibit, for instance, particular statistical properties, called stylized facts, which origins are not clear. As real markets are complex systems, it is really hard to study them directly because too many parameters stay out of control. Hence, multi-agents simulations of these markets seem to be a key for a better understanding of their properties.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Bruno Beaufils & Olivier Brandouy & Julien Derveeuw & Philippe Mathieu, 2007. "Testing double auction as a component within a generic market model architecture," Post-Print hal-00826143, HAL.
    • Handle: RePEc:hal:journl:hal-00826143
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    JEL classification:

    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General

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