Agent-based simulation of a financial market

Marco Raberto, Silvano Cincotti (), Sergio M. Focardi and Michele Marchesi

Papers from arXiv.org

Abstract: This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a given finite portfolio of assets. There is no money-creation process; the total available cash is conserved in time. In each period, agents make random buy and sell decisions that are constrained by available resources, subject to clustering, and dependent on the volatility of previous periods. The model herein proposed is able to reproduce the leptokurtic shape of the probability density of log price returns and the clustering of volatility. Implemented using extreme programming and object-oriented technology, the simulator is a flexible computational experimental facility that can find applications in both academic and industrial research projects.

Date: 2001-03, Revised 2001-03
References: Add references at CitEc
Citations: View citations in EconPapers (91)

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/0103600 Latest version (application/pdf)

Related works:
Journal Article: Agent-based simulation of a financial market (2001)
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:arx:papers:cond-mat/0103600

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().