An agent-based simulation of double-auction markets.
Published: 2005
Language: eng
Number of pages: 75
Description: Agent-based simulation has emerged as a promising research alternative to the traditional analytical approach in studying financial markets. The idea behind agent-based simulation is to constructively model a market in a bottom-up fashion using artificial agents. This thesis aims to accomplish four objectives. The first objective is to present a high-quality software platform that is capable of carrying out agent-based financial market simulations. The second objective is to simulate a double-auction market with this software platform, using homogeneous zero-intelligence agents. The simulation is based on the artificial market model proposed by Smith; Farmer, Gillermot and Krishnamurthy (2003). The third objective is to study the microstructure properties of the simulated double-auction market. In particular, we investigate certain statistical properties for the mid-price, bid-ask spread and limit order book. The fourth and the last objective is to explore and evaluate trading strategies associated with the time-constrained asset liquidation problem through computational agents.
Notes: Thesis (M.Sc.)--University of Toronto, 2005.

Electronic version licensed for access by U. of T. users.

Source: Masters Abstracts International, Volume: 44-01, page: 0391.

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