Agent-based simulation of a financial market

@inproceedings{Raberto2001AgentbasedSO,
  title={Agent-based simulation of a financial market},
  author={Marco Raberto and Silvano Cincotti and Sergio Focardi and Michele Marchesi},
  year={2001}
}

• Marco Raberto, Silvano Cincotti, +1 author Michele Marchesi
• Published 2001

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

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