A modular agent-based environment for studying stock markets

K. Sorban, U. Kaymak, A. Bruin, de

Research output: Book/ReportReportAcademic

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Abstract

Artificial stock markets are built with diffuse priors in mind regarding trading strategies and price formation mechanisms. Diffuse priors are a natural consequence of the unknown relation between the various elements that drive market dynamics and the large variety of market organizations, findings, however, might hold only within the specific market settings. In this paper we propose a framework for building agent-based artificial stock markets. We present the mechanism of the framework based on a previously identified list of organizational and behavioural aspects. Within the framework experiments with arbitrary many trading strategies, acting in various market organizations can be conducted in a flexible way, without changing its architecture. In this way experiments of other artificial stock markets, as well as theoretical models can be replicated and their findings compared. Comparisons of the different experimental results might indicate whether findings are due to traders’ behaviour or to the chosen market structure and could suggest how to improve market quality.
Original languageEnglish
Place of PublicationRotterdam
PublisherErasmus Universiteit Rotterdam
Number of pages23
Publication statusPublished - 2005

Publication series

NameERIM Report Series Research in Management
VolumeERS-2005-017-LIS

Fingerprint

Stock market
Agent-based
Artificial stock market
Trading strategies
Experiment
Market dynamics
Strategy formation
Market structure
Price formation
Trader behavior
Market quality
Market model

Cite this

Sorban, K., Kaymak, U., & Bruin, de, A. (2005). A modular agent-based environment for studying stock markets. (ERIM Report Series Research in Management; Vol. ERS-2005-017-LIS). Rotterdam: Erasmus Universiteit Rotterdam.
Sorban, K. ; Kaymak, U. ; Bruin, de, A. / A modular agent-based environment for studying stock markets. Rotterdam : Erasmus Universiteit Rotterdam, 2005. 23 p. (ERIM Report Series Research in Management).
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Sorban, K, Kaymak, U & Bruin, de, A 2005, A modular agent-based environment for studying stock markets. ERIM Report Series Research in Management, vol. ERS-2005-017-LIS, Erasmus Universiteit Rotterdam, Rotterdam.

A modular agent-based environment for studying stock markets. / Sorban, K.; Kaymak, U.; Bruin, de, A.

Rotterdam : Erasmus Universiteit Rotterdam, 2005. 23 p. (ERIM Report Series Research in Management; Vol. ERS-2005-017-LIS).

Research output: Book/ReportReportAcademic

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Sorban K, Kaymak U, Bruin, de A. A modular agent-based environment for studying stock markets. Rotterdam: Erasmus Universiteit Rotterdam, 2005. 23 p. (ERIM Report Series Research in Management).