Modeling and simulation of a double auction artificial financial market
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DOI: 10.1016/j.physa.2005.02.061
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Cited by:
- Diana MARICA, 2015. "SIMULATING AN EVOLUTIONARY MULTI-AGENT BASED MODEL OF THE STOCK MARKET Abstract : The paper focuses on artificial stock market simulations using a multi-agent model incorporating 2,000 heterogeneous a," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 4(Special I), pages 1-42, august.
- Oh, Gabjin & Kim, Ho-yong & Ahn, Seok-Won & Kwak, Wooseop, 2015. "Analyzing the financial crisis using the entropy density function," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 464-469.
- Yu, Song-min & Fan, Ying & Zhu, Lei & Eichhammer, Wolfgang, 2020. "Modeling the emission trading scheme from an agent-based perspective: System dynamics emerging from firms’ coordination among abatement options," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1113-1128.
- Liu, Xinghua & Gregor, Shirley & Yang, Jianmei, 2008. "The effects of behavioral and structural assumptions in artificial stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2535-2546.
- Juho Kanniainen & Robert Pich'e, 2012. "Stock Price Dynamics and Option Valuations under Volatility Feedback Effect," Papers 1209.4718, arXiv.org.
- Erika Corona & Sabrina Ecca & Michele Marchesi & Alessio Setzu, 2008. "The Interplay Between Two Stock Markets and a Related Foreign Exchange Market: A Simulation Approach," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 99-119, September.
- Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
- Marko Petrovic & Bulent Ozel & Andrea Teglio & Marco Raberto & Silvano Cincotti, 2017. "Eurace Open: An agent-based multi-country model," Working Papers 2017/09, Economics Department, Universitat Jaume I, Castellón (Spain).
- Thiago W. Alves & Ionut Florescu & George Calhoun & Dragos Bozdog, 2020. "SHIFT: A Highly Realistic Financial Market Simulation Platform," Papers 2002.11158, arXiv.org, revised Aug 2020.
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Keywords
Agent-based simulation; Artificial financial market; Double auction; Limit order book;All these keywords.
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