KEY POINTS FOR REALISTIC AGENT-BASED FINANCIAL MARKET SIMULATIONS

Iryna Veryzhenko, Philippe Mathieu, Olivier Brandouy

Abstract

The purpose of this paper is to define software engineering abstractions that provide a generic framework for stock market simulations. We demonstrate a series of key points and principles that has governed the development of an Agent-Based financial market in the form of an API. The simulator architecture is presented. During artificial market construction we have faced the whole variety of agent-based modeling issues and solved them : local interaction, distributed knowledge and resources, heterogeneous environments, agents autonomy, artificial intelligence, speech acts, discrete scheduling and simulation. Our study demonstrates that the choices made for agent-based modeling in this context deeply impact the resulting market dynamics and proposes a series of advances regarding the main limits the existing platforms actually meet.

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Paper Citation


in Harvard Style

Veryzhenko I., Mathieu P. and Brandouy O. (2011). KEY POINTS FOR REALISTIC AGENT-BASED FINANCIAL MARKET SIMULATIONS . In Proceedings of the 3rd International Conference on Agents and Artificial Intelligence - Volume 2: ICAART, ISBN 978-989-8425-41-6, pages 74-83. DOI: 10.5220/0003156200740083


in Bibtex Style

@conference{icaart11,
author={Iryna Veryzhenko and Philippe Mathieu and Olivier Brandouy},
title={KEY POINTS FOR REALISTIC AGENT-BASED FINANCIAL MARKET SIMULATIONS},
booktitle={Proceedings of the 3rd International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,},
year={2011},
pages={74-83},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003156200740083},
isbn={978-989-8425-41-6},
}


in EndNote Style

TY - CONF
JO - Proceedings of the 3rd International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,
TI - KEY POINTS FOR REALISTIC AGENT-BASED FINANCIAL MARKET SIMULATIONS
SN - 978-989-8425-41-6
AU - Veryzhenko I.
AU - Mathieu P.
AU - Brandouy O.
PY - 2011
SP - 74
EP - 83
DO - 10.5220/0003156200740083