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Modeling a Decentralized Asset Market: An Introduction the Financial "Toy Room"

  • F. Chiaromonte
  • G. Dosi

In this paper, the authors describe a micro-founded simulation environment for decentralized trade in a financial asset. Within the philosophy of computer-simulated "artificial markets", this environment allows one to experiment in a modular fashion with (i) individual characterizations in terms of behaviors and learning, (ii) different architectural and institutional traits of the market, and (iii) time-embedding of events at the system and the individual level.

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File URL: http://www.iiasa.ac.at/Publications/Documents/IR-98-115.pdf
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File URL: http://www.iiasa.ac.at/Publications/Documents/IR-98-115.ps
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Paper provided by International Institute for Applied Systems Analysis in its series Working Papers with number ir98115.

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Date of creation: Oct 1998
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Handle: RePEc:wop:iasawp:ir98115
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  1. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1988. "The Survival of Noise Traders in Financial Markets," NBER Working Papers 2715, National Bureau of Economic Research, Inc.
  2. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," NBER Working Papers 2880, National Bureau of Economic Research, Inc.
  3. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
  4. Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, vol. 58(1), pages 9-40, October.
  5. repec:att:wimass:9606 is not listed on IDEAS
  6. M. Valente, 1997. "Laboratory for Simulation Development User Manual," Working Papers ir97020, International Institute for Applied Systems Analysis.
  7. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December.
  8. H. Tordjman, 1998. "Some General Questions About Markets," Working Papers ir98025, International Institute for Applied Systems Analysis.
  9. F. Chiaromonte & M. Berte, 1998. "Some Preliminary Experiments with the Financial "Toy-Room"," Working Papers ir98091, International Institute for Applied Systems Analysis.
  10. Grossman, Sanford J & Stiglitz, Joseph E, 1976. "Information and Competitive Price Systems," American Economic Review, American Economic Association, vol. 66(2), pages 246-53, May.
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