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Realistic Simulation of Financial Markets pp 59–85Cite as

Building Artificial Markets for Evaluating Market Institutions and Trading Strategies

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Part of the book series: Evolutionary Economics and Social Complexity Science ((EESCS,volume 4))

Abstract

This chapter focuses on building artificial market simulators based on the agent-based modeling approach for evaluating market institutions and trading strategies. Artificial market simulators for evaluating market institutions and trading strategies should meet the following five requirements: (1) high fidelity, (2) high transparency, (3) high reproducibility, (4) high traceability, and (5) high usability. In this chapter, we introduce two types of artificial market simulators that meet the five requirements well, namely, the Itayose U-Mart system (U-Mart system Ver.2) and the Zaraba-based U-Mart system (U-Mart system Ver.4). We also explain how to develop trading agent programs for the Itayose U-Mart system and the Zaraba-based U-Mart system. Furthermore, we show simple experiments and what we can do using the Zaraba-based U-Mart system.

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Notes

  1. 1.

    The contents of this chapter are based on [4].

  2. 2.

    The current regulation of TSE has been changed from this setting.

References

  1. R. Axelrod, The Complexity of Cooperation (Princeton University Press, Princeton, 1997)

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  2. M. Fowler, UML Distilled Third Edition: A Brief Guide to the Standard Object Modeling Language (Addison-Wesley, Boston, 2004)

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  3. International Panel on Climate Change (IPCC), Climate change 2007: Synthesis Report, IPCC Fourth Assessment Report (2007)

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  4. I. Ono, H. Sato, N. Mori, Y. Nakajima, H. Matsui, Y. Koyama, H. Kita, U-Mart system: a market simulator for analyzing and designing institutions. Evol. Inst. Econ. Rev. 5 (1), 63–79 (2008)

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  5. J. Rumbaugh, Object-Oriented Modeling and Design (Prentice Hall, Upper Saddle River, 1991)

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  6. Tokyo Stock Exchange, Guide to TSE Trading Methodology 3rd edition (2004). http://www.tse.or.jp/english/rules/equities/dstocks/guide.pdf

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Author information

Authors and Affiliations

  1. Tokyo Institute of Technology, G5-23, 4259 Nagatsuta-cho, Midori-ku, Yokohama, Kanagawa, 226-8503, Japan

    Isao Ono

  2. National Defense Academy, 1-10-20 Hashirimizu, Yokosuka, Kanagawa, 239-8686, Japan

    Hiroshi Sato

Authors
  1. Isao Ono
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  2. Hiroshi Sato
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Corresponding author

Correspondence to Isao Ono .

Editor information

Editors and Affiliations

  1. Institute for Liberal Arts and Sciences, Kyoto University Institute, Kyoto, Kyoto, Japan

    Hajime Kita

  2. Faculty of Economics, Kindai University, Osaka, Japan

    Kazuhisa Taniguchi

  3. Graduate School of Economics, Osaka City University, Osaka, Japan

    Yoshihiro Nakajima

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© 2016 Springer Japan

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Ono, I., Sato, H. (2016). Building Artificial Markets for Evaluating Market Institutions and Trading Strategies. In: Kita, H., Taniguchi, K., Nakajima, Y. (eds) Realistic Simulation of Financial Markets. Evolutionary Economics and Social Complexity Science, vol 4. Springer, Tokyo. https://doi.org/10.1007/978-4-431-55057-0_3

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