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.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
[AHL+97]_W. B. Arthur, J. H. Holland, Blake LeBaron, R. G. Palmer, and P. Tayler, Asset pricing under endogenous expectations in an artificial stock market, The Economy as an Evolving Complex System II (Menlo Park, CA) (W. B. Arthur, D. Lane, and S. N. Durlauf, eds.), Adisson-Wesley, 1997.
Christopher H. Brooks, Edmund H. Durfee, and Rajarshi Das, Price wars and niche discovery in an information economy, Proceedings of ACM Conference on Electronic Commerce (EC-00) (Minneapolis, MN), October 2000.
Sergio Focardi and Caroline Jonas, Modeling the market: New theories and techniques, Frank J. Fabozzi Associates, New Hope, Pennsylvania, 1997.
Ming Fan, Jan Stallaert, and Andrew B. Whinston, The internet and the future of financial markets, Communications of the ACM 43 (2000), no. 11, 82–88.
J. Michael Harrison and Stanley R. Pliska, Martingales and stochastic integrals in the theory of continuous time trading, Stochastic Processes and their Applications 11 (1981), 215–260.
Tamer M. Őzsu and P. Valduriez, Principles of distributed database systems, Prentice Hall, Upper Saddle River, New Jersey, 1999.
IBM, IBM Optimization Solutions and Library, 2004, http://www3.ibm.com/software/data/bi/osl/index.html.
Kiyoshi Izumi and Kazuhiro Ueda, Analysis of dealers’ processing financial news based on an artificial market approach, Journal of Computational Intelligence in Finance 7 (1999), 23–33.
—, Analysis of exchange rate scenarios using an artificial market approach, Proceedings of the International Conference on Artificial Intelligence (A. Amin, C.-H. Chen, and et. al, eds.), CSREA Press, 1999, pp. 360–366.
S. Joshi, J. Parker, and M. A. Bedau, Technical trading creates prisoner’s dilemma: Results from an agent-based model, Computational Finance (Cambidge, MA) (Y. S. Abu-Mostafa, Blake LeBaron, A. W. Lo, and A. S. Weigend, eds.), The MIT Press, 1999.
Jeffry O. Kephart, James E. Hansen, and Amy R. Greenwald, Dynamic pricing by software agents, Computer Networks 32 (2000), no. 6, 731–752.
[KHL+98a]_Jeffrey O. Kephart, James E. Hanson, David W. Levine, Benjamin N. Grosof, Jakka Sairamesh, Richard B. Segaland, and Steve R. White, Dynamics of an information-filtering economy, Proceedings of the Second International Workshop on Cooperative Information Agents, July 1998.
[KHL+98b]_Jeffry O. Kephart, James E. Hansen, D. W. Levine, Benjamin Grosof, J. Sairamesh, R. Segal, and S. R. White, Emergent behavior in information economies, Proceedings of the International Conference on Multi-Agent Systems, 1998.
Ioanis Karatzas and Steven Shreve, Methods of mathematical finance, Springer-Verlag, new York, New York, 1998.
Blake LeBaron, W. B. Arthur, and R. G. Palmer, The time series properties of an artificial stock market, Journal of Economic Dynamics and Control 23 (1999), 1487–1516.
Blake LeBaron, Agent-based computational finanace: Suggested readings and early research, Journal of Economic Dynamics and Control 24 (2000), 679–702.
—, A builder’s guide to agent-based financial markets, Quantitative Finance 1 (2001), 254–261.
—, Evolution and time horizons in an agent based stock market, Macroeconomic Dynamics 5 (2001), 254–261.
P. Maes, R. Guttman, and A. Moukas, Agents that buy and sell, Communications of tha ACM 42 (1999), no. 3, 81–91.
R. G. Palmer, W. B. Arthur, J. H. Holland, and Blake LeBaron, Artificial economic life: a simple model of a stock market, Physica D 75 (1994), 264–274.
Frank Partnoy, Fiasco the inside story of a wall street trader, Penguin Books, New York, 1997.
Arnold Picot, Christine Bortenlänger, and Heine Röhrl, The automation of capital markets, Journal of Computer-Mediated Commerce 1 (1995), no. 3. Available online at http://www.ascusc.org/jcmc/-vol1/issue3/picot.html.
S. Russell and P. Norvig, Artificial intelligence, Prentice Hall, New Jersey, 1995.
John Rust, Dealing with the complexity of economic calculations, 1996, Workshop on Foundamental Limits to Knowledge in Economics.
Tuomas Sandholm, eMediator: A next generation electronic commerce server, AAAI Workshop Technical Report WS-99-01 (Orlando, Fl), AAAI Workshop on AI in Electronic Commerce, 1999, pp. 46–55.
Securities and Exchange Commission, Securities and Exchange Commission special study: On-line brokerage: Keeping apace of cyberspace, November 1999, Available online at http://www.sec.gov/news/studies/cyberspace.htm.
Olga Streltchenko, Nanjangud C. Narendra, and Yelena Yesha, A reference architecture for multi-agent simulation of derivatives markets, Proceedings of the International ICSC Congress on Computational Intelligence: Methods and Applications (Bangor, Wales), 2001.
Leigh Tesfatsion, Notes on the Santa Fe Artificial Stock Market model, Available online at http://www.econ.iastate.edu/classes/econ308x/tesfatsion/sfistock.htm, 2002.
Gerald J. Tesauro and Jeffrey O. Kephar, Foresight-based pricing algorithms in an economy of software agents, Proceedings of International Conference on Information and Computation Economies, October 1998.
Hal Varian, Effect of the internet on financial markets, 1998, Available online at http://www.sims.berkeley.edu/∼hal/Papers/brookingspaper. html.
Michael Wooldridge, Nicholas Jennings, and D. Kinny, The gaia methodology for agent-oriented analysis and design, Journal of Autonomous Agents and Multi-Agent Systems 3 (2000), no. 3, 285–312.
Frank G. Zarb, The coming global digital stock market, speech at the National Press Club, 1999, Available online at http://www.nasdaqnews.com/views/speech/digmarkets.htm.
Franco Zambonelly, Nicholas Jennings, and Michael Wooldridge, Organizational abstractions for the analysis and design of multi-agent systems, Proceedings of the Firstst International Workshop on Agent-Oriented Software Engineering (Limerick, Ireland), 2000, pp. 127–141.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2005 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Streltchenko, O., Yesha, Y., Finin, T. (2005). Multi-Agent Simulation of Financial Markets. In: Kimbrough, S.O., Wu, D. (eds) Formal Modelling in Electronic Commerce. International Handbooks on Information Systems. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-26989-4_15
Download citation
DOI: https://doi.org/10.1007/3-540-26989-4_15
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-21431-1
Online ISBN: 978-3-540-26989-2
eBook Packages: Business and EconomicsBusiness and Management (R0)