A Modular Agent-Based Environment for Studying Stock Markets

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

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 built with diffuse priors in mind regarding trading strategies and price formation mechanisms. Diffuse priors are a natural consequence of the unknown relation between the various elements that drive market dynamics and the large variety of market organizations, findings, however, might hold only within the specific market settings. In this paper we propose a framework for building agent-based artificial stock markets. We present the mechanism of the framework based on a previously identified list of organizational and behavioural aspects. Within the framework experiments with arbitrary many trading strategies, acting in various market organizations can be conducted in a flexible way, without changing its architecture. In this way experiments of other artificial stock markets, as well as theoretical models can be replicated and their findings compared. Comparisons of the different experimental results might indicate whether findings are due to traders’ behaviour or to the chosen market structure and could suggest how to improve market quality.

Keywords: agent-based modelling; artificial stock markets; behavioural finance; computational economics; simulatiemodellen (search for similar items in EconPapers)
JEL-codes: L15 M O32 (search for similar items in EconPapers)
Date: 2005-04-03
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Citations: View citations in EconPapers (1)

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