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A survey of agent based artificial stock markets (Continuous session models)

Publication Type : Journal Article

Publisher : International Research Journal of Finance and Economics

Source : International Research Journal of Finance and Economics, Volume 64, p.126-139 (2011)

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Campus : Coimbatore

School : School of Engineering

Center : Research & Projects

Department : Computer Science

Year : 2011

Abstract : The goal of agent-based modeling of stock markets is to enrich our understanding of fundamental processes that appear in a market. Artificial stock markets are models of financial markets used to study and understand market dynamics. Agent Based Artificial Stock Markets can be seen as any market model in which prices are formed endogenously as a result of participants' interaction. There are various artificial stock markets in existence that are created using different strategies and customized for specific requirements. Trading sessions may be Call market sessions or Continuous sessions. Call market (Discrete) sessions occur at predefined intervals of time whereas trading happens continuously in Continuous sessions. In this paper, we analyze four Continuous Sessions artificial stock market models namely Continuous Time Asynchronous Model (CTAM), Electronic Market Maker (EMM) Model, Continuous Extended Glosten Milgrom Model (CEGM) and KapSyn. In order to facilitate comparison. prior to studying the Continuous Session models, we discuss a Call market (Discrete) session model, the Santa Fe Artificial Stock Market, being one of the heavily cited, first sophisticated agent-based financial market models for studying stock markets, using a bottom-up approach. We analyze their features, design and their pros and cons based on a few important parameters. © EuroJournals Publishing, Inc. 2011.

Cite this Research Publication : Dr. (Col.) Kumar P. N., Amritha, T., Ram, S. V. Gowtham, S. Krishna, H., Karthika, M. N., and Mohandas, V. P., “A Survey of Agent based Artificial Stock Markets (Continuous Session Models)”, International Research Journal of Finance and Economics, vol. 64, pp. 126-139, 2011.

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