Simulation Research on Artificial Financial Market Based on Multiple Competitive Market-Makers

Xiao Feng Lin; Hong Tao Zhou; Wei Zeng; Hao Wang

doi:10.4028/www.scientific.net/AEF.6-7.722

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HomeAdvanced Engineering ForumAdvanced Engineering Forum Vols. 6-7Simulation Research on Artificial Financial Market...

Simulation Research on Artificial Financial Market Based on Multiple Competitive Market-Makers

Abstract:

Most of the past studies about dealership market involved only one monoplistic market-maker. The paper aims to build an artificial financial market based on multiple competitive market makers on ANYLOGIC platform, in which one market-maker adopts BAYES learning rule to estimate the fundamental value and the other employs a rough method. In order to validate the effectiveness of dealers’ quotes, we carried out two group simulation experiment. The results show that the quote of each dealer can converge to the fundamental value with certain deviation. What’s more, the deviation of the market-maker with learning ability is smaller while the converging speed slower.

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Periodical:

Advanced Engineering Forum (Volumes 6-7)

Pages:

722-729

DOI:

https://doi.org/10.4028/www.scientific.net/AEF.6-7.722

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Online since:

September 2012

Authors:

Xiao Feng Lin, Hong Tao Zhou, Wei Zeng, Hao Wang

Keywords:

Artificial Financial Market, Learning Ability, Multiple Competitive Market-Makers, Quote Validity

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Creative Commons CC BY 4.0

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