A comparison of U.S and Chinese financial market microstructure: heterogeneous agent-based multi-asset artificial stock markets approach

Haijun Yang (), Harry Wang (), Gui Sun () and Li Wang ()

Journal of Evolutionary Economics, 2015, vol. 25, issue 5, 924 pages

Abstract: The market microstructure literatures study how the traders work in the financial market. In this paper, we propose a novel heterogeneous agent-based multi-asset artificial stock market based on Santa Fe Artificial Stock Market (SFI-ASM) to compare the financial market microstructure between U.S. and China. We first develop a set of new parameters for the single stock market simulation to improve the way that agents monitor the market and choose different strategies, which make our model closer to the real financial market. Secondly, we construct a multiple assets financial market by incorporating two new types of agents, namely, zero-intelligence agents and less-intelligence agents, and conduct simulations for different evolution speeds, strategies, and intelligence levels to achieve the optimal models of Chinese and U.S. financial markets before and after the financial crisis. Based on the simulation results, we present a comprehensive analysis of the market microstructure for the two financial markets. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Heterogeneous agent; Agent-based model; Multi-asset artificial stock market; Microstructure; C6; D8; G1 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00191-015-0424-6 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:joevec:v:25:y:2015:i:5:p:901-924

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/191/PS2

DOI: 10.1007/s00191-015-0424-6

Access Statistics for this article

Journal of Evolutionary Economics is currently edited by Uwe Cantner, Elias Dinopoulos, Horst Hanusch and Luigi Orsenigo

More articles in Journal of Evolutionary Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().