Agent-based simulation of a financial market

  title={Agent-based simulation of a financial market},
  author={Marco Raberto and Silvano Cincotti and Sergio Focardi and Michele Marchesi},
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… CONTINUE READING
Highly Cited
This paper has 249 citations. REVIEW CITATIONS

From This Paper

Figures, tables, and topics from this paper.


Publications citing this paper.
Showing 1-10 of 87 citations

249 Citations

Citations per Year
Semantic Scholar estimates that this publication has 249 citations based on the available data.

See our FAQ for additional information.


Publications referenced by this paper.
Showing 1-10 of 15 references


  • B. D LeBaron, W. B. Arthur, R. G. Palmer, J. Econ
  • Control 23
  • 1999
Highly Influential
3 Excerpts


  • R. G. Palmer, W. B. Arthur, J. H. Holland, B. D. LeBaron
  • Tayler, Physica D
  • 1994
Highly Influential
2 Excerpts

An Introduction to Econophysics

  • R. N. Mantegna, H. E. Stanley
  • Correlations and Complexity in Finance. Cambridge…
  • 2000
3 Excerpts


  • B. D. LeBaron, J. Econ
  • Control 24
  • 2000

Microscopic Simulation of Financial Markets

  • M. Levy, H. Levy, S. Solomon
  • Academic Press, New York
  • 2000


  • D. Chowdhury, D. Stauffer
  • Phys. J. B 8
  • 1999


  • G. Iori
  • J. Mod. Physics C 10
  • 1999


  • M. Raberto, E. Scalas, G. Cuniberti
  • Riani, Physica A 269
  • 1999
1 Excerpt


  • T. Lux
  • Marchesi, Nature 397
  • 1999


  • Y. Liu, P. Gopikrishman, P. Cizeau, M. Meyer, C.-K. Peng, H. E. Stanley
  • Rev. E 60
  • 1999
2 Excerpts