Testing Double Auction as a Component Within a Generic Market Model Architecture

Julien Derveeuw (), Bruno Beaufils (), Philippe Mathieu () and Olivier Brandouy ()
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Julien Derveeuw: USTL
Bruno Beaufils: USTL
Philippe Mathieu: USTL
Olivier Brandouy: USTL

Chapter 4 in Artificial Markets Modeling, 2007, pp 47-61 from Springer

Abstract: Abstract Artificial stock markets are models designed to capture essential properties of real stock markets in order to reproduce, analyze or understand market dynamics with computational experiments. Despite research advances in modern finance many questions remain unsolved: market dynamics exhibit, for instance, particular statistical properties, called stylized facts, which origins are not clear. As real markets are complex systems, it is really hard to study them directly because too many parameters stay out of control. Hence, multi-agents simulations of these markets seem to be a key for a better understanding of their properties.

Keywords: Stock Market; Market Model; Stylize Fact; Agent Behavior; Market Maker (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/978-3-540-73135-1_4

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