Multi-Agent Simulation of Financial Markets

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https://link.springer.com/chapter/10.1007/3-540-26989-4_15

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https://doi.org/10.1007/3-540-26989-4_15
 http://hdl.handle.net/11603/12178

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UMBC Computer Science and Electrical Engineering Department
UMBC Faculty Collection

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Date

2004-12-01

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journal articles preprints
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Citation of Original Publication

Olga Streltchenko, Yelena Yesha, and Tim Finin, Multi-agent simulation of financial markets, Formal Modelling in Electronic Commerce pp 393-419 ,DOI: https://doi.org/10.1007/3-540-26989-4_15

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Subjects

decision support
financial market
market maker
qutoation system
price quote
UMBC Ebiquity Research Group

Abstract

This paper discusses the principal reasons for, and prospective opportunities of, simulating financial markets using an architecture based on artificial agents. The paper then discusses in detail the design and architecture of a simulator for financial markets. The Gaia methodology was employed in the development of MAFiMSi (Multi-Agent Finanacial Market Simulator), a general-purpose finacial market simulator of a dealer-type market. MAFiMSi is implemented as a library of C++ classes that currently support a stand-alone market simulation.