Agent-Based Model and Simulation Results

Vincent Darley and Alexander Outkin
Additional contact information
Vincent Darley: President & CEO of Eurobios, UK

Chapter 3 in A NASDAQ Market Simulation:Insights on a Major Market from the Science of Complex Adaptive Systems, 2007, pp 39-70 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionModel OverviewMarketStrategiesEvolutionary Selection of Strategies and Learning StrategiesAn Outline of the Computer ModelResultsTick Size Effects on Price DiscoveryExplanations of Observed ResultsEffects of ParasitismEffects of Tick SizeAggregate Behavior of the MarketFat TailsHerding EffectsRange of Fat TailsSpread ClusteringOther ResultsProfitability of Market Makers' StrategiesInformational Content of the TradesMarket Structure AnalysisMarket's PredictabilityEffects of Market InfrastructureEffects of Learning and EvolutionConclusions

Keywords: Financial Markets; Agent-Based Modeling; Complexity; Dynamics; Emergent Behaviors; Simulation; Phase Transitions; Strategy (search for similar items in EconPapers)
Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812708359_0003 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812708359_0003 (text/html)
Ebook Access is available upon purchase.

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:wsi:wschap:9789812708359_0003

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().