An agent-based financial simulation for use by researchers

Abstract

Regulators and policy makers, facing a complicated, fast-paced and quickly evolving marketplace, require new tools and decision aides to inform policy. Agent-based models, which are capable of capturing the organization of exchanges, intricacies of market mechanisms, and the heterogeneity of market participants, offer a powerful method for understanding the financial marketplace. To this end, we have worked to develop a flexible and adaptable agent-based model of financial markets that can be extended and applied to interesting policy questions. This paper presents the implementation of this model. In addition, it provides a small case study that demonstrates the possible uses of the model. The source code of the simulation has also been released and is available for use.

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Cite this paper

@article{Hayes2014AnAF, title={An agent-based financial simulation for use by researchers}, author={Roy Hayes and Andrew Todd and Nachapon Chaidarun and Scott Tepsuporn and Peter A. Beling and William T. Scherer}, journal={Proceedings of the Winter Simulation Conference 2014}, year={2014}, pages={300-309} }