On the Design of Artificial Stock Markets

Katalin Boer-Sorban, Arie de Bruin and Uzay Kaymak ()

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

Abstract: Artificial stock markets are designed with the aim to study and understand market dynamics by representing (part of) real stock markets. Since there is a large variety of real stock markets with several partially observable elements and hidden processes, artificial markets differ regarding their structure and implementation. In this paper we analyze to what degree current artificial stock markets reflect the workings of real stock markets. In order to conduct this analysis we set up a list of factors which influence market dynamics and are as a consequence important to consider for designing market models. We differentiate two categories of factors: general, well-defined aspects that characterize the organization of a market and hidden aspects that characterize the functioning of the markets and the behaviour of the traders.

Keywords: agent-based computational economics; artificial stock markets; financial markets; market microstructure; uncertainty modeling (search for similar items in EconPapers)
JEL-codes: C52 C63 G15 M M11 R4 (search for similar items in EconPapers)
Date: 2005-02-18
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Citations: View citations in EconPapers (3)

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