How to Estimate Market Maker Models in an Artificial Market

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


In this chapter, market makers and their estimation will be demonstrated as one example of an application using an artificial market. Three kinds of simple market maker models, which decide ask and bid prices by their own positions, are proposed and estimated by acceleration experiments and real-time experiments with human in an artificial market, “U-Mart.” These models can accumulate profits stably or at least keep their profits fluctuating in a narrow range. These results suggest the possibility of developing a market maker algorithm working in the real market to provide enough liquidity.


Market Maker Geometric Brownian Motion Spot Price Real Market Order Book 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer Japan 2016

Authors and Affiliations

  1. 1.Graduate School of EconomicsOsaka City UniversitySugimoto Sumiyosi Osaka City Osaka PrefectureJapan

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